Xize Ye

University of Western Ontario

1151 Richmond Street

Suite 2

London, Ontario N6A 5B8

Canada

  • University of Western Ontario

SCHOLARLY PAPERS

3

DOWNLOADS

268

TOTAL CITATIONS

1

Scholarly Papers (3)

Actions:
Email selected abstracts
1.

Setting the VIX Free: A Generalized Affine GARCH Model

Number of pages: 62 Posted: 16 Dec 2023
Marcos Escobar-Anel, Lars Stentoft and Xize Ye
Western University, Department of Economics, University of Western Ontario and University of Western Ontario
Downloads 145 (434,314)

Abstract:

Loading...

Affine models, Heston-Nandi GARCH, VIX volatility index

2.

Not All Vixs are (Informationally) Equal: Evidence from Affine GARCH Option Pricing Models

Number of pages: 23 Posted: 21 Feb 2024
Marcos Escobar-Anel, Lars Stentoft and Xize Ye
Western University, Department of Economics, University of Western Ontario and University of Western Ontario
Downloads 75 (688,480)
Citation 1

Abstract:

Loading...

VIX maturity, Affine GARCH, Option pricing

3.

Analytical Fixed Income Pricing in Discrete-time: A New Family of Models

Number of pages: 18 Posted: 13 Feb 2024 Last Revised: 16 Aug 2024
Marcos Escobar-Anel, Lars Stentoft and Xize Ye
Western University, Department of Economics, University of Western Ontario and University of Western Ontario
Downloads 48 (864,453)

Abstract:

Loading...

interest rate model, bond pricing, forward rates, fixed income products