3 papers
q-fin.MF2024
Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali +1
We present a unified, market-complete model that integrates both the Bachelier and Black-Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unifi…
q-fin.PM2023
Enhancing CVaR portfolio optimisation performance with GAM factor models
Davide Lauria, W. Brent Lindquist, Svetlozar T. Rachev
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes. In particula…
q-fin.MF2023
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…