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Barone-Adesi, Giovanni - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-6

VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest...

Persistent link: https://www.econbiz.de/10011544027

The saga of the American put

Barone-Adesi, Giovanni - In: Journal of banking & finance 29 (2005) 11, pp. 2909-2918

Persistent link: https://www.econbiz.de/10003121063

Numerical evaluation of the critical price and American options

Allegretto, Walter; Barone-Adesi, Giovanni; Elliott, … - 1994

Persistent link: https://www.econbiz.de/10000899141

Option pricing with regularized fractional Brownian motions

Aldabe, F. - In: Geld, Finanzwirtschaft, Banken und Versicherungen : …, (pp. 379-397). 1997

Persistent link: https://www.econbiz.de/10001298418

Pricing bonds and bond options with default risk

Barone, Emilio - In: European financial management : the journal of the … 4 (1998) 2, pp. 231-282

Persistent link: https://www.econbiz.de/10001245489

Numerical evaluation of the critical price and American options

Allegretto, Walter; Barone-Adesi, Giovanni; Elliott, … - In: The European journal of finance 1 (1995) 1, pp. 69-78

Persistent link: https://www.econbiz.de/10001192799

A new approach to check the free boundary of single factor interest rate put option

Allegretto, Walter; Barone-Adesi, Giovanni; Dinenis, Elias - In: Finance : revue de l'Association Française de Finance 20 (1999) 2, pp. 153-168

Persistent link: https://www.econbiz.de/10001544341

Two-factor convertible bonds valuation using the method of characteristics/finite elements

Barone-Adesi, Giovanni; Bermudez, Ana; Hatgioannides, John - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1801-1831

Persistent link: https://www.econbiz.de/10001755431

Managing electricity risk

Barone-Adesi, Giovanni; Gigli, Andrea - In: Economic notes : economic review of Banca Monte dei … 32 (2003) 2, pp. 283-294

Persistent link: https://www.econbiz.de/10001790812

Is the Price Kernel Monotone?

Barone-Adesi, Giovanni - 2010

We provide a new method to derive the state price density per unit probability based on option prices and GARCH model. We derive the risk neutral distribution using the result in Breeden and Litzenberger (1978) and the historical density adapting the GARCH model of Barone-Adesi et al. (2008). We...

Persistent link: https://www.econbiz.de/10013148774