Narrow search
Showing 1 - 10 of 26
Cover Image
Price discovery in the US stock and stock options markets : a portfolio approach
Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren - In: Review of derivatives research 9 (2006) 1, pp. 37-65
Persistent link: https://www.econbiz.de/10003441188
Cover Image
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
Cover Image
Dampened power law : reconciling the tail behavior of financial security returns
Wu, Liuren - In: The journal of business : B 79 (2006) 3, pp. 1445-1475
Persistent link: https://www.econbiz.de/10003337016
Cover Image
Modeling financial security returns using Lévy processes
Wu, Liuren - In: Financial engineering, (pp. 117-162). 2008
Persistent link: https://www.econbiz.de/10003567103
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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