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An equilibrium model of rare event premia

Liu, Jun (contributor); Pan, Jun (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001714111

An equilibrium model of rare-event premia and its implication for option smirks

Liu, Jun; Pan, Jun; Wang, Tan - In: The review of financial studies 18 (2005) 1, pp. 131-164

Persistent link: https://www.econbiz.de/10002646671

Transform analysis and asset pricing for affine jump-diffusions

Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 6, pp. 1343-1376

Persistent link: https://www.econbiz.de/10001527496

Transform analysis and asset pricing for affine jump-diffusions

Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - 1999

Persistent link: https://www.econbiz.de/10001388790

The illiquidity of corporate bonds

Bao, Jack; Pan, Jun; Wang, Jiang - In: The journal of finance : the journal of the American … 66 (2011) 3, pp. 911-946

Persistent link: https://www.econbiz.de/10009160330

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Duffie, Darrell - 1999

In the setting of affine' jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example...

Persistent link: https://www.econbiz.de/10012471694

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Duffie, Darrell - 2008

In the setting of affineamp;apos; jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example...

Persistent link: https://www.econbiz.de/10012774824

Conditioning information and variance bounds on pricing kernels

Bekaert, Geert; Liu, Jun - 1999

Persistent link: https://www.econbiz.de/10001355784

On the relation between expected returns and implied cost of capital

Hughes, John S.; Liu, Jing; Liu, Jun - In: Review of accounting studies 14 (2009) 2/3, pp. 246-259

Persistent link: https://www.econbiz.de/10003900221

Discussion of "On the relation between expected returns and implied cost of capital"

Lambert, Richard A. - In: Review of accounting studies 14 (2009) 2/3, pp. 260-268

Persistent link: https://www.econbiz.de/10003900225