Articles by King Wang
Modeling the bid and ask prices of options
The authors investigate and partially solve theoretical and empirical problems for the joint modelling of bid and ask prices.
Validation of profit and loss attribution models for equity derivatives
The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.