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Dampened power law : reconciling the tail behavior of financial security returns
Wu, Liuren - In: The journal of business : B 79 (2006) 3, pp. 1445-1475
Persistent link: https://www.econbiz.de/10003337016
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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
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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
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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
Persistent link: https://www.econbiz.de/10010233614
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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
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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
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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
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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
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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
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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
Persistent link: https://www.econbiz.de/10011658670