2023

1. Wei Lin, Kangli Shen and Jin E. Zhang. Further exploration into the valid regions of Gram{Charlier densities, Journal of Computational and Applied Mathematics, doi: https://doi.org/10.1016/j.cam.2023.115231.

2. Wei Lin, Kangli Shen and Jin E. Zhang. The Single-peaked Regions of Gram-Charlier Densities on Finite Intervals, Submitted.

2022

1. Wei Lin, Jin E. Zhang. Pricing VXX by Modelling VIX Directly, Journal of Futures Markets, (2022) 42(5), 888-922.                                       

2. Wei Lin, Jin E. Zhang. The Valid Regions of Gram-Charlier Densities with High-order Cumulants, Journal of Computational and Applied Mathematics, (2022) 407: 113945.

See Moving Figures Here.

2021

1. Xiaoyu Tan,  Chengxiang Wang,  Wei Lin,  Jin E. Zhang,  Shenghong Li,  Xuejun Zhao,  Zili Zhang. The Term Structure of the VXX Option Smirk: Pricing VXX Option with a Two‐factor Model and Asymmetry Jumps. Journal of Futures Markets, (2021) 41(4), 439-457.

2018-

1. Lin, Wei, Shenghong Li, Shane Chern, and Jin E. Zhang, 2018, Pricing VIX Derivatives with Free Stochastic Volatility Model, Review of Derivatives Research, (2019) 22:41–75.

2. W. Lin, S. Li, and S. Chern, Pricing and Hedging Options in Normal Tempered Stable Process with 4/2 Stochastic Volatility, SCIENTIA SINICA Mathematica , 48 (2018), No.1, 201

2015-2017

1. W. Lin, S, Li, X. Luo, and S, Chern, Consistent pricing of VIX and equity derivatives with 4/2 stochastic volatility plus jumps model, Journal of Mathematical Analysis and Application, 447 (2017), No.2, 778-797.