With T+ 0 and short selling mechanism, the stock index futures are attractive to short-term
traders in China, where stocks cannot be liquidated within the day and are difficult to short …

The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives
exchanges mark the beginning of a new era in Bitcoin price risk hedging. The need for these …

We investigate whether there are predictable patterns in the dynamics of higher-order risk-
neutral moments (RNMs) extracted from the market prices of Standard & Poor's (S&P) 500 …

We derive an asymptotic expansion formula for option implied volatility under a two-factor
jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose …

This paper analyzes the implied volatility (IV) curve of the SSE 50 ETF options, the first
equity options market in mainland China. We quantify the IV curve and find it exhibits a right …

In this study, we extend the Chicago Board Options Exchange volatility index, VIX, from 30‐
day to any arbitrary time‐to‐maturity, and study the term structure of VIX. We propose new …

Using no arbitrage principle, we derive a relation between the drift term of risk-neutral
dynamics for instantaneous variance and the term structure of forward variance. We show …

This paper develops an equilibrium asset and option pricing model in a production economy
under jump diffusion. The model provides analytical formulas for an equity premium and a …

This paper documents the dynamics of the term structure of the implied volatility (IV) smirk of
Chicago Board Options Exchange Volatility Index (VIX) options. Empirical analysis shows …

Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …