12 citations · 15 across the 7 of their papers we have counts for
14 papers
Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis
Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2
Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk. The GJR pric…
Global Index on Financial Losses due to Crime in the United States
Thilini Mahanama, Abootaleb Shirvani, Svetlozar Rachev
Crime can have a volatile impact on investments. Despite the potential importance of crime rates in investments, there are no indices dedicated to evaluating the financial impact o…
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…
A Natural Disasters Index
Thilini V. Mahanama, Abootaleb Shirvani
Natural disasters, such as tornadoes, floods, and wildfire pose risks to life and property, requiring the intervention of insurance corporations. One of the most visible consequenc…
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…
Rational Finance Approach to Behavioral Option Pricing
Jiexin Dai, Abootaleb Shirvani, Frank J. Fabozzi
When pricing options, there may be different views on the instantaneous mean return of the underlying price process. According to Black (1972), where there exist heterogeneous view…