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An equilibrium model of rare event premia
Liu, Jun (contributor); Pan, Jun (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001714111
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An equilibrium model of rare-event premia and its implication for option smirks
Liu, Jun; Pan, Jun; Wang, Tan - In: The review of financial studies 18 (2005) 1, pp. 131-164
Persistent link: https://www.econbiz.de/10002646671
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Dynamic derivative strategies
Liu, Jun; Pan, Jun - In: Journal of financial economics 69 (2003) 3, pp. 401-430
Persistent link: https://www.econbiz.de/10001787696
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Dynamic Asset Allocation With Event Risk
Liu, Jun - 2002
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....
Persistent link: https://www.econbiz.de/10012469608
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Dynamic Asset Allocation with Event Risk
Liu, Jun - 2002
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....
Persistent link: https://www.econbiz.de/10012787129
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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Portfolio selection in stochastic environments
Liu, Jun - In: The review of financial studies 20 (2007) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10003403670
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Transform analysis and asset pricing for affine jump-diffusions
Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - 1999
Persistent link: https://www.econbiz.de/10001388790
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Early peek advantage? : efficient price discovery with tiered information disclosure
Hu, Xing; Pan, Jun; Wang, Jiang - In: Journal of financial economics 126 (2017) 2, pp. 399-421
Persistent link: https://www.econbiz.de/10011818175
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Analytical value-at-risk with jumps and credit risk
Duffie, Darrell; Pan, Jun - In: Finance and stochastics 5 (2001) 2, pp. 155-180
Persistent link: https://www.econbiz.de/10001571486