output
20142025
most citedA Semi-Parametric Approach to the Detection of Non-Gaussian Gravitational Wave Stochastic Backgrounds

32 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing q-fin.MFShow all

7 papers · 1 filter

q-fin.MF2020

Option Pricing Incorporating Factor Dynamics in Complete Markets

Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2

Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important conside…

q-fin.MF2020★ 12 cited

Option Pricing in Markets with Informed Traders

Yuan Hu, Abootaleb Shirvani, Stoyan Stoyanov +3

The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new mo…

q-fin.MF2020★ 1 cited

Option Pricing in an Investment Risk-Return Setting

Abootaleb Shirvani, Frank J. Fabozzi, Stoyan V. Stoyanov

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can constr…

q-fin.MF2019★ 5 cited

Option Pricing with Mixed Levy Subordinated Price Process and Implied Probability Weighting Function

Abootaleb Shirvani, Yuan Hu, Svetlozar T. Rachev +1

It is essential to incorporate the impact of investor behavior when modeling the dynamics of asset returns. In this paper, we reconcile behavioral finance and rational finance by i…

q-fin.MF2017

Another Look at the Ho-Lee Bond Option Pricing Model

Young Shin Kim, Stoyan Stoyanov, Svetlozar Rachev +1

In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model.…

q-fin.MF2017

Option pricing for Informed Traders

Stoyan V. Stoyanov, Yong Shin Kim, Svetlozar T. Rachev +1

In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, v…

q-fin.MF2017★ 3 cited

Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach

Svetlozar Rachev, Stoyan Stoyanov, Stefan Mittnik +2

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predi…