1 citations · 1 across the 2 of their papers we have counts for
2 papers
econ.EM2022★ 1 cited
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Qiang Liu, Zhi Liu
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including i…
q-fin.PR2019
The Black-Scholes-Merton dual equation
Shuxin Guo, Qiang Liu
We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The novel and general equation works for options with a payo…