12 citations · 13 across the 9 of their papers we have counts for
14 papers
Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis
Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2
Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk. The GJR pric…
Option Pricing Incorporating Factor Dynamics in Complete Markets
Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important conside…
Option Pricing in Markets with Informed Traders
Yuan Hu, Abootaleb Shirvani, Stoyan Stoyanov +3
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new mo…
Rational Finance Approach to Behavioral Option Pricing
Jiexin Dai, Abootaleb Shirvani, Frank J. Fabozzi
When pricing options, there may be different views on the instantaneous mean return of the underlying price process. According to Black (1972), where there exist heterogeneous view…
Choosing the Right Return Distribution and the Excess Volatility Puzzle
Abootaleb Shirvani, Frank J. Fabozzi
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzl…
Option Pricing in an Investment Risk-Return Setting
Abootaleb Shirvani, Frank J. Fabozzi, Stoyan V. Stoyanov
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can constr…