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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

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

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

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

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

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

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

Barrier option pricing using adjusted transition probabilities

Barone-Adesi, Giovanni; Fusari, Nicola; Theal, John - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 36-53

Persistent link: https://www.econbiz.de/10003795257

Valuation of two-factor interest rate contingent claims using Green's theorem

Sorwar, Ghulam; Barone-Adesi, Giovanni - In: Applied mathematical finance 18 (2011) 3/4, pp. 277-289

Persistent link: https://www.econbiz.de/10009381923

Valuation of derivatives based on single-factor interest rate models

Sorwar, Ghulam; Barone-Adesi, Giovanni; Allegretto, Walter - In: Global finance journal 18 (2007) 2, pp. 251-269

Persistent link: https://www.econbiz.de/10003704514