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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

Targets, predictability, and performance

Peñaranda, Francisco; Wu, Liuren - In: Management science : journal of the Institute for … 68 (2022) 2, pp. 1537-1555

Persistent link: https://www.econbiz.de/10012887642

Limits of Arbitrage and Primary Risk Taking in Derivative Securities

Tian, Meng; Wu, Liuren - 2021

Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as redundant relative to the replicating portfolio. In practice, while dynamic replication proves highly effective in drastically reducing the risk in derivative investments, the...

Persistent link: https://www.econbiz.de/10013244989

Market anticipation of Fed policy changes and the term structure of interest rates

Heidari, Massoud; Wu, Liuren - In: Review of finance : journal of the European Finance … 14 (2010) 2, pp. 313-342

Persistent link: https://www.econbiz.de/10003989558

Dynamic interactions between interest-rate and credit risk : theory and evidence on the credit default swap term structure

Chen, Ren-Raw; Cheng, Xiaolin; Wu, Liuren - In: Review of finance : journal of the European Finance … 17 (2013) 1, pp. 403-441

Persistent link: https://www.econbiz.de/10009715216

A simple robust link between American puts and credit protection

Carr, Peter; Wu, Liuren - In: The review of financial studies 24 (2011) 2, pp. 473-505

Persistent link: https://www.econbiz.de/10008934157

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

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

Persistent link: https://www.econbiz.de/10003628900

Stochastic skew in currency options

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

Persistent link: https://www.econbiz.de/10003546310

Design and estimation of multi-currency quadratic models

Leippold, Markus; Wu, Liuren - In: Review of finance : journal of the European Finance … 11 (2007) 2, pp. 167-207

Persistent link: https://www.econbiz.de/10003714174

Staying on top of the curve : a cascade model of term structure dynamics

Calvet, Laurent E.; Fisher, Adlai; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 2, pp. 937-963

Persistent link: https://www.econbiz.de/10011929549