Overview
Zhiwu Chen is a finance professor (formerly at Ohio State University, later Yale School of Management and University of Hong Kong). His research spans financial economics, option pricing, and applied econometrics. He is co-author of the Bakshi-Cao-Chen (1997) landmark study on alternative option pricing models.
Key Contributions
- Bakshi-Cao-Chen (1997): Co-developed the SVSI-J nested option pricing framework. Showed that the SVJ model provides the best out-of-sample pricing, while stochastic volatility alone yields the best single-instrument hedging — pricing rank and hedging rank are orthogonal.
- Bakshi-Chen (1997a): "An alternative valuation model for contingent claims." Journal of Financial Economics 44: 123–165.
- Bakshi-Chen (1997b): "Equilibrium valuation of foreign exchange claims." Journal of Finance 52: 799–826.
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