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Modeling financial security returns using Lévy processes

Wu, Liuren - In: Financial engineering, (pp. 117-162). 2008

Persistent link: https://www.econbiz.de/10003567103

Stochastic skew in currency options

Carr, Peter; Wu, Liuren - In: Journal of financial economics 86 (2007) 1, pp. 213-247

Persistent link: https://www.econbiz.de/10003546310

Static hedging of standard options

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

Persistent link: https://www.econbiz.de/10010233614

Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies

Bakshi, Gurdip S.; Carr, Peter; Wu, Liuren - In: Journal of financial economics 87 (2008) 1, pp. 132-156

Persistent link: https://www.econbiz.de/10003628900

Specification analysis of option pricing models based on time-changed Lévy processes

Huang, Jing-Zhi; Wu, Liuren - In: The journal of finance : the journal of the American … 59 (2004) 3, pp. 1405-1442

Persistent link: https://www.econbiz.de/10002100164

Time-changed Lévy processes and option pricing

Carr, Peter; Wu, Liuren - In: Journal of financial economics 71 (2004) 1, pp. 113-141

Persistent link: https://www.econbiz.de/10001881163

Variance swaps on time-changed Lévy processes

Carr, Peter; Lee, Roger; Wu, Liuren - In: Finance and stochastics 16 (2012) 2, pp. 335-355

Persistent link: https://www.econbiz.de/10009544664

Leverage effect, volatility feedback, and self-exciting market disruptions

Carr, Peter; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 5, pp. 2119-2156

Persistent link: https://www.econbiz.de/10011928991

Simple robust hedging with nearby contracts

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

Persistent link: https://www.econbiz.de/10011658670

Linearity-Generating Processes, Unspanned Stochastic Volatility, and Interest-Rate Option Pricing

Carr, Peter - 2011

We propose to use the linearity-generating framework to accommodate the evidence of unspanned stochastic volatility: Variations in implied volatilities on interest-rate options such as caps and swaptions are independent of the variations on the interest rate term structure. Under this framework,...

Persistent link: https://www.econbiz.de/10013128248