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Carr, Peter; Wu, Liuren - In: Journal of Financial Economics 86 (2007) 1, pp. 213-247

Persistent link: https://www.econbiz.de/10005376639

Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

Bakshi, Gurdip; Carr, Peter; Wu, Liuren - In: Journal of Financial Economics 87 (2008) 1, pp. 132-156

Persistent link: https://www.econbiz.de/10005376779

Time-changed Levy processes and option pricing

Carr, Peter; Wu, Liuren - In: Journal of Financial Economics 71 (2004) 1, pp. 113-141

Persistent link: https://www.econbiz.de/10005376916

Pricing and hedging in incomplete markets

Carr, Peter; Geman, Helyette; Madan, Dilip B. - In: Journal of Financial Economics 62 (2001) 1, pp. 131-167

Persistent link: https://www.econbiz.de/10005376989

Approximate option valuation for arbitrary stochastic processes

Jarrow, Robert; Rudd, Andrew - In: Journal of Financial Economics 10 (1982) 3, pp. 347-369

Persistent link: https://www.econbiz.de/10005477895

Reduced-form valuation of callable corporate bonds: Theory and evidence

Jarrow, Robert; Li, Haitao; Liu, Sheen; Wu, Chunchi - In: Journal of Financial Economics 95 (2010) 2, pp. 227-248

We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach both extends the...

Persistent link: https://www.econbiz.de/10008565600

Testing market efficiency using statistical arbitrage with applications to momentum and value strategies

Hogan, Steve; Jarrow, Robert; Teo, Melvyn; Warachka, Mitch - In: Journal of Financial Economics 73 (2004) 3, pp. 525-565

Persistent link: https://www.econbiz.de/10005362547