Ally Zhang

Department of Finance, Lancaster University Management School

Economics Department,

LUMS,

Bailrigg Lancaster, LA1 4YX

United Kingdom

http://www.allyquanzhang.com/wordpress/

Swiss Finance Institute

University of Zurich

Plattenstrasse 32

Zurich, ZH 8032

Switzerland

SCHOLARLY PAPERS

4

DOWNLOADS

527

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Analytical Option Pricing Under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model

26th Australasian Finance and Banking Conference 2013, Swiss Finance Institute Research Paper No. 17-78
Number of pages: 48 Posted: 18 Aug 2013 Last Revised: 12 Feb 2018
Matthias Thul, Ally Zhang and Ally Zhang
IMC Financial Markets and Department of Finance, Lancaster University Management SchoolSwiss Finance Institute
Downloads 353 (159,465)
Citation 1

Abstract:

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displaced tails, jump-diffusion, option pricing, maximum likelihood estimation

2.

How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates

Quantitative Finance, Vol. 17, No. 9
Number of pages: 49 Posted: 02 Feb 2014 Last Revised: 04 Jan 2018
Ally Zhang, Ally Zhang and Matthias Thul
Department of Finance, Lancaster University Management SchoolSwiss Finance Institute and IMC Financial Markets
Downloads 133 (397,671)

Abstract:

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leveraged certificates, barrier options, overnight gap, risk management

3.

Recursive equilibria in dynamic economies with bounded rationality

Number of pages: 28 Posted: 05 May 2021
Runjie Geng, Ally Zhang and Ally Zhang
University of Zurich - Department Finance and Department of Finance, Lancaster University Management SchoolSwiss Finance Institute
Downloads 40 (783,614)

Abstract:

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bounded rationality, recursive equilibria, behavioral economics, asset pricing

4.

Presale Dynamics: Risk Sharing via Early Discounts and Quick Sales

Number of pages: 83
Quan Gan, Maggie Hu, Yang Shi, Ally Zhang and Ally Zhang
The University of Sydney - Discipline of Finance, The Chinese University of Hong Kong, The University of Melbourne and Department of Finance, Lancaster University Management SchoolSwiss Finance Institute
Downloads 1

Abstract:

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Presale contracts, Early discounts, Quick sales, Risk sharing, Price-time sensitivity JEL classification: G32, R30, R31, R38