5 citations · 5 across the 16 of their papers we have counts for
16 papers
Innovative Extensions to Option Pricing: Asymmetric Brownian Motion and Random Walk Approaches
Jagdish Gnawali, Abootaleb Shirvani, Dilmi C. W. Hettiachchi-Halpe-Kankanamalage +3
Classical option pricing models, such as Bachelier and Black--Scholes--Merton, postulate symmetric Brownian diffusion, which limits their capacity to reflect empirical phenomena in…
Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets
Ting-Jung Lee, W. Brent Lindquist, Svetlozar T. Rachev +1
This paper addresses a critical inconsistency in models of the term structure of interest rates (TSIR), where zero-coupon bonds are priced under risk-neutral measures distinct from…
Evaluating Factor Contributions for Sold Homes
Jason R. Bailey, W. Brent Lindquist, Svetlozar T. Rachev
We evaluate the contributions of ten intrinsic and extrinsic factors, including ESG (environmental, social, and governance) factors readily available from website data to individua…
Asset Pricing in the Presence of Market Microstructure Noise
Peter Yegon, W. Brent Lindquist, Svetlozar T. Rachev
We present two models for incorporating the total effect of market microstructure noise into dynamic pricing of assets and European options. The first model is developed under a Bl…
Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model
Bhathiya Divelgama, Nancy Asare Nyarko, W. Brent Lindquist +2
We extend the application of the Cherny-Shiryaev-Yor invariance principle to a unified Bachelier-Black-Scholes-Merton (BBSM) dynamic pricing model. This extension incorporates the…
Binary Tree Option Pricing Under Market Microstructure Effects: A Random Forest Approach
Akash Deep, Chris Monico, W. Brent Lindquist +2
We propose a machine learning-based extension of the classical binomial option pricing model that incorporates key market microstructure effects. Traditional models assume friction…
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…
Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
Jagdish Gnawali, W. Brent Lindquist, Svetlozar T. Rachev
We introduce a fairly general, recombining trinomial tree model in the natural world. Market-completeness is ensured by considering a market consisting of two risky assets, a riskl…
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…
Hedonic Models Incorporating ESG Factors for Time Series of Average Annual Home Prices
Jason R. Bailey, W. Brent Lindquist, Svetlozar T. Rachev
Using data from 2000 through 2022, we analyze the predictive capability of the annual numbers of new home constructions and four available environmental, social, and governance fac…
Alternatives to classical option pricing
W. Brent Lindquist, Svetlozar T. Rachev
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this app…
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…
An Axiomatic Risk-Reward Framework for Sustainable Investing
Gabriele Torri, Rosella Giacometti, Darinka Dentcheva +2
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environ…
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…
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes
Abootaleb Shirvani, Stefan Mittnik, W. Brent Lindquist +1
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin…
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…