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Valuing futures and options on volatility

Grünbichler, Andreas - In: Journal of banking & finance 20 (1996) 6, pp. 985-1001

Persistent link: https://www.econbiz.de/10001203103

Dynamic asset allocation with event risk

Liu, Jun; Longstaff, Francis A.; Pan, Jun - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 231-260

Persistent link: https://www.econbiz.de/10001737272

Dynamic asset allocation with event risk

Liu, Jun; Longstaff, Francis A.; Pan, Jun - 2002

Persistent link: https://www.econbiz.de/10001689160

Disagreement and asset prices

Carlin, Bruce Ian; Longstaff, Francis A.; Matoba, Kyle - 2012

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Disagreement and asset prices

Carlin, Bruce Ian; Longstaff, Francis A.; Matoba, Kyle - In: Journal of financial economics 114 (2014) 2, pp. 226-238

Persistent link: https://www.econbiz.de/10010532262

Dynamic Asset Allocation with Event Risk

Liu, Jun - 2002

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....

Persistent link: https://www.econbiz.de/10012787129