5 citations · 5 across the 16 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…