3 papers
q-fin.PR2024
Risk-neutral valuation of options under arithmetic Brownian motions
Qiang Liu, Shuxin Guo
On April 22, 2020, the CME Group switched to Bachelier pricing for a group of oil futures options. The Bachelier model, or more generally the arithmetic Brownian motion (ABM), is n…
q-fin.PM2024
Is the annualized compounded return of Medallion over 35%?
Shuxin Guo, Qiang Liu
It is a challenge to estimate fund performance by compounded returns. Arguably, it is incorrect to use yearly returns directly for compounding, with reported annualized return of a…
q-fin.GN2024
Data-generating process and time-series asset pricing
Shuxin Guo, Qiang Liu
We study the data-generating processes for factors expressed in return differences, which the literature on time-series asset pricing seems to have overlooked. For the factors' dat…