Similar Search Results

An equilibrium model of rare-event premia and its implication for option smirks

Liu, Jun; Pan, Jun; Wang, Tan - In: The review of financial studies 18 (2005) 1, pp. 131-164

Persistent link: https://www.econbiz.de/10002646671

An equilibrium model of rare event premia

Liu, Jun (contributor); Pan, Jun (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001714111

The illiquidity of corporate bonds

Bao, Jack; Pan, Jun; Wang, Jiang - In: The journal of finance : the journal of the American … 66 (2011) 3, pp. 911-946

Persistent link: https://www.econbiz.de/10009160330

Transform analysis and asset pricing for affine jump-diffusions

Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 6, pp. 1343-1376

Persistent link: https://www.econbiz.de/10001527496

Transform analysis and asset pricing for affine jump-diffusions

Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - 1999

Persistent link: https://www.econbiz.de/10001388790

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Duffie, Darrell - 1999

In the setting of affine' jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example...

Persistent link: https://www.econbiz.de/10012471694

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Duffie, Darrell - 2008

In the setting of affineamp;apos; jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example...

Persistent link: https://www.econbiz.de/10012774824

On the relation between expected returns and implied cost of capital

Hughes, John S.; Liu, Jing; Liu, Jun - In: Review of accounting studies 14 (2009) 2/3, pp. 246-259

Persistent link: https://www.econbiz.de/10003900221

Using stocks or portfolios in tests of factor models

Ang, Andrew; Liu, Jun; Schwarz, Krista - 2010 - This Version: 7 September, 2010

Persistent link: https://www.econbiz.de/10009355426

Can noise create the size and value effects?

Arnott, Robert D.; Hsu, Jason C.; Liu, Jun; Markowitz, Harry - In: Management science : journal of the Institute for … 61 (2015) 11, pp. 2569-2579

Persistent link: https://www.econbiz.de/10011409071