Meng Tian

City University of New York, CUNY Baruch College - Zicklin School of Business

One Bernard Baruch Way

New York , NY 10010

United States

SCHOLARLY PAPERS

2

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146

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0

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Scholarly Papers (2)

1.

Cross-sectional Variation of Option Implied Volatility Skew

Number of pages: 58 Posted: 01 Dec 2020
Meng Tian and Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 108 (291,703)

Abstract:

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Implied volatility skew; Market risk; Credit risk; Market sentiment; Return prediction

2.

Limits of Arbitrage and Primary Risk Taking in Derivative Securities

Number of pages: 63 Posted: 26 Feb 2021
Meng Tian and Liuren Wu
City University of New York, CUNY Baruch College - Zicklin School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 38 (503,986)

Abstract:

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Dynamic hedging; Option investment returns; Limits of arbitrage; Trading cost; Stochastic volatility; Jumps