12 citations · 45 across the 49 of their papers we have counts for
9 papers · 1 filter
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…
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…
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…
ESG-valued discrete option pricing in complete markets
Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev
We consider option pricing using replicating binomial trees, with a two fold purpose. The first is to introduce ESG valuation into option pricing. We explore this in a number of sc…
Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions
Dongdong Hu, Hasanjan Sayit, Svetlozar T. Rachev
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also us…