Bei Chen

Shanghai International Studies University

1550 Weniang Road

Songjiang District

Shanghai , Shanghai

China

  • Shanghai International Studies University

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Anticipating Jumps: Decomposition of Straddle Price

Journal of Banking and Finance, Forthcoming
Number of pages: 55 Posted: 18 Nov 2021 Last Revised: 03 Jan 2023
Bei Chen, Quan Gan and Aurelio Vasquez
Shanghai International Studies University, The University of Sydney - Discipline of Finance and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 407 (157,890)

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Jumps, Uncertainty, Straddle, Earnings announcements

2.

Does the Options Market Underreact to Firms' Left-Tail Risk?

Journal of Financial and Quantitative Analysis
Number of pages: 103 Posted: 10 Apr 2021 Last Revised: 08 Mar 2024
Bei Chen, Quan Gan and Aurelio Vasquez
Shanghai International Studies University, The University of Sydney - Discipline of Finance and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 326 (201,176)

Abstract:

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Equity options, Bear spread, Crash risk insurance, Left-tail risk, Behavioral bias, Underreaction