Publications

Cao, J., Ruan, X., Shu, S., & Zhang, W. (2022). Pricing S&P 500 Variance Futures based on the instantaneous variance of the S&P 500 index with double jump processes. 2022 Unitec-MIT Research Symposium, Online.

Cao, J., Ruan, X., Su, S., & Zhang, W. (2021). Pricing VXX options under Lévy processes. Journal of Futures Markets (Vol. 41(9)).

Cao, J., Ruan, X., Su, S., & Zhang, W. (2019). Pricing VIX derivatives with infinite-activity jumps. Journal of Futures Markets (Vol. 40(3)).

Cao, J., Ruan, X., Su, S., & Zhang, W. (2019). Pricing VXX options under time-changed Lévy processes. AUT Mathematical Sciences Symposium, Auckland, New Zealand.