Overview
Jin E. Zhang is a finance scholar (Otago Business School, University of Otago; previously University of Hong Kong), known for research on volatility derivatives, the VIX and variance swaps, and option pricing.
Key Contributions / Features
- GARCH option pricing and the variance risk premium (Zhang-Zhang 2020): the modified LRNVR that makes risk-neutral variance more persistent to capture the VRP and price the VIX.
- Work on the CBOE VIX, VIX term structure and futures, variance-swap pricing, and volatility-of-volatility.
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