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Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren - In: Journal of econometrics 160 (2011) 1, pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
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Modeling financial security returns using Lévy processes
Wu, Liuren - In: Financial engineering, (pp. 117-162). 2008
Persistent link: https://www.econbiz.de/10003567103
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Time-changed Lévy 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/10001881163
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What type of process underlies options? : A simple robust test
Carr, Peter; Wu, Liuren - In: The journal of finance : the journal of the American … 58 (2003) 6, pp. 2581-2610
Persistent link: https://www.econbiz.de/10001845848
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Specification analysis of option pricing models based on time-changed Lévy processes
Huang, Jing-Zhi; Wu, Liuren - In: The journal of finance : the journal of the American … 59 (2004) 3, pp. 1405-1442
Persistent link: https://www.econbiz.de/10002100164
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Probabilistic interpretation of Black implied volatility
Carr, Peter; Wu, Liuren; Zhang, Yuzhao - In: Options - 45 years since the publication of the …, (pp. 29-46). 2023
Persistent link: https://www.econbiz.de/10014366585
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Stock options and credit default swaps : a joint framework for valuation and estimation
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 409-449
Persistent link: https://www.econbiz.de/10008665748
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Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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The behavior of risk and market prices of risk over the Nasdaq bubble period
Bakshi, Gurdip S.; Wu, Liuren - In: Management science : journal of the Institute for … 56 (2010) 12, pp. 2251-2264
Persistent link: https://www.econbiz.de/10008809519
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Variance swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger; Wu, Liuren - In: Finance and stochastics 16 (2012) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10009544664