1

Estimating Option-Implied Risk-Neutral Densities: A Novel Parametric Approach

Year:
2015
Language:
english
File:
PDF, 1.54 MB
english, 2015
2

Improved Implementation of Local Volatility and Its Application to S&P 500 Index Options

Year:
2010
Language:
english
File:
PDF, 1.52 MB
english, 2010
3

A Multi-Parameter Extension of Figlewski’s Option-Pricing Formula

Year:
2011
Language:
english
File:
PDF, 1.02 MB
english, 2011
5

Novel no-arbitrage conditions for options written on defaultable assets

Year:
2014
Language:
english
File:
PDF, 89 KB
english, 2014
7

Equity Option Implied Probability of Default and Equity Recovery Rate

Year:
2017
Language:
english
File:
PDF, 289 KB
english, 2017
8

Linear algebra-based solution of the gambler’s ruin problem

Year:
2016
Language:
english
File:
PDF, 450 KB
english, 2016
9

Information content of option-implied probabilities

Year:
2018
Language:
english
File:
PDF, 328 KB
english, 2018
10

Empirical performance of a spline-based implied volatility surface

Year:
2012
Language:
english
File:
PDF, 207 KB
english, 2012
13

The arithmetico-geometric sequence: an application of linear algebra

Year:
2015
Language:
english
File:
PDF, 307 KB
english, 2015
14

Improved lower bounds of call options written on defaultable assets

Year:
2014
Language:
english
File:
PDF, 115 KB
english, 2014
15

Information content of right option tails: Evidence from S&P 500 index options

Year:
2017
Language:
english
File:
PDF, 410 KB
english, 2017
16

Information Content of Right Option Tails: Evidence from S&P 500 Index Options (Preprint)

Year:
2016
Language:
english
File:
PDF, 544 KB
english, 2016
17

Arbitrage-Free Call Option Surface Construction Using Regression Splines

Year:
2011
Language:
english
File:
PDF, 394 KB
english, 2011
18

Equity Option Implied Probability of Default and Equity Recovery Rate

Year:
2016
Language:
english
File:
PDF, 194 KB
english, 2016