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The time-varying prediction of successful mergers
Barone-Adesi, Giovanni; Corvasce, Giuseppe - 2009
Persistent link: https://www.econbiz.de/10003970460
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VaR and CVaR implied in option prices
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
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The design of new derivative markets
Barone-Adesi, Giovanni - In: Risk management in commodity markets : from shipping to …, (pp. 51-59). 2008
Persistent link: https://www.econbiz.de/10003787690
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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
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Maximum likelihood tests of option pricing models
Barone-Adesi, Giovanni - In: Advances in futures and options research : a research annual 1 (1986), pp. 181-192
Persistent link: https://www.econbiz.de/10001339366
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American path-dependent options
Chesney, Marc; Barone-Adesi, Giovanni - 1993
Persistent link: https://www.econbiz.de/10000882096
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On the use of implied stock volatilities in the prediction of successful corporate takeovers
Barone-Adesi, Giovanni; Brown, Keith C.; Harlow, W. V. - 1994
Persistent link: https://www.econbiz.de/10000896978
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Alm in banks
Barone-Adesi, Giovanni - 1994
Persistent link: https://www.econbiz.de/10000896979
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Options to trade foreign currencies at the "most favorable" rate
Chesney, Marc; Barone-Adesi, Giovanni - 1991
Persistent link: https://www.econbiz.de/10000813418
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A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni; Engle, Robert F.; Mancini, Loriano - In: The review of financial studies 21 (2008) 3, pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228