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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

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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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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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

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Variance risk premiums

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

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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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