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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

Consolidating Information in Option Transactions

Holowczak, Richard - 2013

Underlying each stock trades hundreds of options at different strike prices and maturities. The order flow from these option transactions reveals important information about the underlying stock price movement and its volatility variation. How to aggregate the trade information of different...

Persistent link: https://www.econbiz.de/10013093687

Consolidating Information in Option Transactions

Hu, Jianfeng - 2013

Underlying each stock trades hundreds of options at different strike prices and maturities. The order flows from these option transactions reveal important information about the underlying stock price. How to aggregate the trade information of different option contracts underlying the same stock...

Persistent link: https://www.econbiz.de/10013093973

Simple robust hedging with nearby contracts

Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35

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Analyzing volatility risk and risk premium in option contracts : a new theory

Carr, Peter; Wu, Liuren - In: Journal of financial economics 120 (2016) 1, pp. 1-20

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Static hedging of standard options

Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46

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Variance risk premiums

Carr, Peter; Wu, Liuren - In: The review of financial studies 22 (2009) 3, pp. 1311-1341

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A simple robust link between American puts and credit protection

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A tale of two indices

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Crash-o-phobia : a domestic fear or a worldwide concern?

Foresi, Silverio; Wu, Liuren - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 8-21

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