Asymmetry in option implied volatility and yield: Evidence from China's ETF options market 1 1 Xiaoyijing Chen, PhD candidate. Research Interests: option pricing, financial derivatives. Siyuan Liu, master's student. Research Interests: option pricing, volatility model. Zailin Xu, PhD candidate. Research Interests: capital market, volatility model. Mei Yu, PhD, Professor, Doctoral Supervisor. Research Interests: capital market, risk management. , 2 2 Funding: This work was supported by “National Natural Science Foundation of China” (Grant number: 72073027); “National Natural Science Foundation of China” (Grant number: 72071046); “the Fundamental Research Funds for the Central Universities” in UIBE (Grant number: ZD6–01).
Titel:
Asymmetry in option implied volatility and yield: Evidence from China's ETF options market 1 1 Xiaoyijing Chen, PhD candidate. Research Interests: option pricing, financial derivatives. Siyuan Liu, master's student. Research Interests: option pricing, volatility model. Zailin Xu, PhD candidate. Research Interests: capital market, volatility model. Mei Yu, PhD, Professor, Doctoral Supervisor. Research Interests: capital market, risk management. , 2 2 Funding: This work was supported by “National Natural Science Foundation of China” (Grant number: 72073027); “National Natural Science Foundation of China” (Grant number: 72071046); “the Fundamental Research Funds for the Central Universities” in UIBE (Grant number: ZD6–01).