1 citations · 2 across the 5 of their papers we have counts for
5 papers
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…
Exploring Implied Certainty Equivalent Rates in Financial Markets: Empirical Analysis and Application to the Electric Vehicle Industry
Yifan He, Svetlozar Rachev
In this paper, we mainly study the impact of the implied certainty equivalent rate on investment in financial markets. First, we derived the mathematical expression of the implied…
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…
Financial market with no riskless (safe) asset
Svetlozar Rachev, Frank Fabozzi
We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have t…