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Revealing the implied risk-neutral MGF from options : the wavelet method
Haven, Emmanuel E.; Liu, Xiaoquan; Ma, Chenghu; Ma, Chenghu - In: Journal of economic dynamics & control 33 (2009) 3, pp. 692-709
Persistent link: https://www.econbiz.de/10003817991
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Market equilibrium with heterogeneous recursive-utility-maximizing agents
Ma, Chenghu - In: Economic theory : official journal of the Society for … 3 (1993) 2, pp. 243-266
Persistent link: https://www.econbiz.de/10001142106
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A discrete-time intertemporal asset pricing model : GE approach with recursive utility
Ma, Chenghu - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 249-275
Persistent link: https://www.econbiz.de/10001245920
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Attitudes toward the timing of resolution of uncertainty and the existence of recursive utility
Ma, Chenghu - In: Journal of economic dynamics & control 23 (1998) 1, pp. 97-112
Persistent link: https://www.econbiz.de/10001252987
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Uncertainty aversion and rationality in games of perfect information
Ma, Chenghu - In: Journal of economic dynamics & control 24 (2000) 3, pp. 451-482
Persistent link: https://www.econbiz.de/10001433038
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Term structure of interest rates in the presence of Lévy jumps : the HJM approach
Ma, Chenghu - In: Annals of economics and finance 4 (2003) 2, pp. 401-426
Persistent link: https://www.econbiz.de/10001930290
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w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps
Ma, Chenghu - In: Risk and decision analysis 2 (2010/11) 4, pp. 221-236
Persistent link: https://www.econbiz.de/10009537819
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An existence theorem of intertemporal recursive utility in the presence of Lévy jumps
Ma, Chenghu - In: Journal of mathematical economics 34 (2000) 4, pp. 509-526
Persistent link: https://www.econbiz.de/10001531836
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Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps
Ma, Chenghu - In: Journal of mathematical economics 42 (2006) 2, pp. 131-160
Persistent link: https://www.econbiz.de/10003310857
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Wavelet-based option pricing : an empirical study
Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861