12 citations · 23 across the 10 of their papers we have counts for
11 papers
An Empirical Implementation of the Shadow Riskless Rate
Davide Lauria, JiHo Park, Yuan Hu +3
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in…
The Implied Views of Bond Traders on the Spot Equity Market
Yifan He, Yuan Hu, Svetlozar Rachev
This study delves into the temporal dynamics within the equity market through the lens of bond traders. Recognizing that the riskless interest rate fluctuates over time, we leverag…
Unifying Market Microstructure and Dynamic Asset Pricing
Davide Lauria, W. Brent Lindquist, Svetlozar T. Rachev +1
We introduce a discrete binary tree for pricing contingent claims with the underlying security prices exhibiting history dependence characteristic of that induced by market microst…
Option pricing using a skew random walk pricing tree
Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev +1
Motivated by the Corns-Satchell, continuous time, option pricing model, we develop a binary tree pricing model with underlying asset price dynamics following Itô-Mckean skew Browni…
ESG-valued discrete option pricing in complete markets
Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev
We consider option pricing using replicating binomial trees, with a two fold purpose. The first is to introduce ESG valuation into option pricing. We explore this in a number of sc…
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…
Portfolio Optimization Constrained by Performance Attribution
Yuan Hu, W. Brent Lindquist
This paper investigates performance attribution measures as a basis for constraining portfolio optimization. We employ optimizations that minimize expected tail loss and investigat…
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…
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…
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…
Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation
Yuan Hu, Svetlozar T. Rachev, Frank J. Fabozzi
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately…