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Variance risk premiums
Carr, Peter; Wu, Liuren - In: The review of financial studies 22 (2009) 3, pp. 1311-1341
Persistent link: https://www.econbiz.de/10003827753
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Jumps and dynamic asset allocation
Wu, Liuren - In: Review of quantitative finance and accounting 20 (2003) 3, pp. 207-243
Persistent link: https://www.econbiz.de/10001773900
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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
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Limits of arbitrage and primary risk-taking in derivative securities
Tian, Meng; Wu, Liuren - In: Review of asset pricing studies : RAPS 13 (2023) 3, pp. 405-439
Persistent link: https://www.econbiz.de/10014331536
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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