42 citations · 144 across the 29 of their papers we have counts for
4 papers · 1 filter
Accounting for Earnings Announcements in the Pricing of Equity Options
Tim Leung, Marco Santoli
We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the ev…
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
Tim Leung, Xin Li, Zheng Wang
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that in…
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
Tim Leung, Xin Li
Motivated by the industry practice of pairs trading, we study the optimal timing strategies for trading a mean-reverting price spread. An optimal double stopping problem is formula…
Leveraged {ETF} implied volatilities from {ETF} dynamics
Tim Leung, Matthew Lorig, Andrea Pascucci
The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship…