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The model-free measures and the volatility spread

Chen, Jian; Liu, Xiaoquan - In: Applied economics letters 17 (2010) 16/18, pp. 1829-1833

Persistent link: https://www.econbiz.de/10009232136

Risk-neutral and Physical Jumps in Option Pricing

Chen, Jian; Liu, Xiaoquan; Ma, Chenghu - 2013

When jumps are present in the price dynamics of the underlying asset, the market is no longer complete, and a more general pricing framework than the risk-neutral valuation is needed. Using Monte Carlo simulation, we investigate the important diffrence between risk- neutral and physical jumps in...

Persistent link: https://www.econbiz.de/10010892158

Returns to trading portfolios of FTSE 100 index options

Liu, Xiaoquan - In: Applied financial economics 17 (2007) 13/15, pp. 1211-1225

Persistent link: https://www.econbiz.de/10003590582

Bid-ask spread, strike prices and risk-neutral densities

Liu, Xiaoquan - In: Applied financial economics 17 (2007) 10/12, pp. 887-900

Persistent link: https://www.econbiz.de/10003538047

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597

Closed-form transformations from risk-neutral to real-world distributions

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 31 (2007) 5, pp. 1501-1520

Persistent link: https://www.econbiz.de/10003461175

De-noising option prices with the wavelet method

Haven, Emmanuel E.; Liu, Xiaoquan; Shen, Liya - In: European journal of operational research : EJOR 222 (2012) 1, pp. 104-112

Persistent link: https://www.econbiz.de/10009569559

Measuring the subprime crisis contagion : evidence of change point analysis of copula functions

Ye, Wuyi; Liu, Xiaoquan; Miao, Baiqi - In: European journal of operational research : EJOR 222 (2012) 1, pp. 96-103

Persistent link: https://www.econbiz.de/10009569564

A pricing kernel approach to valuing options on interest rate futures

Liu, Xiaoquan; Kuo, Jing-Ming; Coakley, Jerry - In: The European journal of finance 21 (2015) 1/3, pp. 93-110

Persistent link: https://www.econbiz.de/10010519972

Do intraday data contain more information for volatility forecasting? : evidence from the Chinese commodity futures market

Jiang, Ying; Liu, Xiaoquan; Ye, Wuyi - In: Applied economics letters 22 (2015) 1/3, pp. 218-222

Persistent link: https://www.econbiz.de/10010481970

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