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Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan; Lindquist, W. Brent; Račev, Svetlozar T.; … - In: Journal of economic dynamics & control 137 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
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Option pricing in markets with informed traders
Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan V.; … - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-32
Persistent link: https://www.econbiz.de/10012496747
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Option pricing incorporating factor dynamics in complete markets
Hu, Yuan; Shirvani, Abootaleb; Lindquist, W. Brent; … - In: Journal of risk and financial management : JRFM 13 (2020) 12/321, pp. 1-33
Using the Donsker-Prokhorov invariance principle, we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the Cherny-Shiryaev-Yor invariance principles, we formulate a new...
Persistent link: https://www.econbiz.de/10012403907
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Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model
Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24
We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or...
Persistent link: https://www.econbiz.de/10015065971
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Advanced REIT Portfolio Optimization : Innovative Tools for Risk Management
Lindquist, W. Brent; Račev, Svetlozar T.; Hu, Yuan; … - 2022
Chapter 1. The Real Estate Investment Market: The Current State and Why Advances Are Needed -- Chapter 2. The Data -- Chapter 3. Modern Portfolio Theory -- Chapter 4. Historical Portfolio Optimization – Domestic REITs -- Chapter 5. Diversification with International REITs -- Chapter 6....
Persistent link: https://www.econbiz.de/10013447388
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Introduction to the pricing of futures/forwards and options
Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765704
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A review of no arbitrage interest rate models
Buetow, Gerald W.; Fabozzi, Frank J.; Sochacki, James - In: Interest rate, term structure, and valuation modeling, (pp. 39-72). 2002
Persistent link: https://www.econbiz.de/10001734140
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Using the lattice model to value bonds with embedded options, floaters, options, and caps/floors
Fabozzi, Frank J.; Kalotay, Andrew; Dorigan, Michael - In: Interest rate, term structure, and valuation modeling, (pp. 357-378). 2002
Persistent link: https://www.econbiz.de/10001734184
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Using the lattice model to value forward start swaps and swaptions
Buetow, Gerald W.; Fabozzi, Frank J. - In: Interest rate, term structure, and valuation modeling, (pp. 379-420). 2002
Persistent link: https://www.econbiz.de/10001734185
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Impact of different interest rate models on bond value measures
Buetow, Gerald W.; Hanke, Bernd; Fabozzi, Frank J. - In: The journal of fixed income 11 (2001) 3, pp. 41-53
Persistent link: https://www.econbiz.de/10001706063