Lei Zhou

National University of Singapore (NUS)

Research Fellow

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Pricing Kernel (Non)Monotonicity and conditional information

Number of pages: 40 Posted: 27 Feb 2025
Lei Zhou, Ruting Wang, Wolfgang Karl Härdle, Xiaorui ZUO and Levin Schach
National University of Singapore (NUS), Sun Yat-sen University (SYSU) - School of Business, Blockchain Research Center Humboldt-Universität zu Berlin, National University of Singapore (NUS) and Humboldt-University of Berlin
Downloads 72 (703,468)

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JEL Classification: G12, G13, G23 Pricing kernel, Kernel Estimation, Risk-Neutral Density, Crypto Currency

2.

Option Returns and the risk-free Rate in Crypto Asset Markets

Number of pages: 23 Posted: 07 May 2025
Julian Winkel, Wolfgang Karl Härdle, Lei Zhou and Ying Chen
International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Humboldt-Universität zu Berlin, Blockchain Research Center Humboldt-Universität zu Berlin, National University of Singapore (NUS) and National University of Singapore (NUS) - Department of Mathematics
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JEL Classification: C14, C50, G10 Bitcoin, Ether, Deribit, risk premium, volatility premium, option, risk-free rate, perpetual future