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Robust Pricing of the American...
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Option pricing theory
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Ibáñez, Alfredo
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Balbás de la Corte, Alejandro
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2
Gimeno, Ricardo
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ECONIS (ZBW)
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The cross-section of average delta-hedge option returns under stochastic volatility
Ibáñez, Alfredo
- In:
Review of derivatives research
11
(
2008
)
3
,
pp. 205-244
Persistent link: https://www.econbiz.de/10003835031
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2
Default near-the-default-point : the value of and the distance to default
Ibáñez, Alfredo
-
2015
Persistent link: https://www.econbiz.de/10011789308
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3
Factorization of European and American option prices under complete and incomplete markets
Ibáñez, Alfredo
- In:
Journal of banking & finance
32
(
2008
)
2
,
pp. 311-325
Persistent link: https://www.econbiz.de/10003647242
Saved in:
4
The sensitivity of American options to suboptimal exercise strategies
Ibáñez, Alfredo
;
Paraskevopoulos, Ioannis
- In:
Journal of financial and quantitative analysis : JFQA
45
(
2010
)
6
,
pp. 1563-1590
Persistent link: https://www.econbiz.de/10008909153
Saved in:
5
Maxim portfolios in models where immunization is not feasible
Balbás de la Corte, Alejandro
;
Ibáñez, Alfredo
- In:
Computational methods in decision-making, economics and …
,
(pp. 139-165)
.
2010
Persistent link: https://www.econbiz.de/10009153090
Saved in:
6
Monte Carlo valuation of American options through computation of the optimal exercise frontier
Ibáñez, Alfredo
;
Zapatero, Fernando
- In:
Journal of financial and quantitative analysis : JFQA
39
(
2004
)
2
,
pp. 253-275
Persistent link: https://www.econbiz.de/10002103593
Saved in:
7
Valuation by simulation of contingent claims with multiple early exercise opportunities
Ibáñez, Alfredo
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 223-248
Persistent link: https://www.econbiz.de/10002032694
Saved in:
8
When can you immunize a bond portfolio?
Balbás de la Corte, Alejandro
- In:
Journal of banking & finance
22
(
1998
)
12
,
pp. 1571-1595
Persistent link: https://www.econbiz.de/10001252586
Saved in:
9
Dispersion measures as immunization risk measures
Balbás de la Corte, Alejandro
;
Ibáñez, Alfredo
; …
- In:
Journal of banking & finance
26
(
2002
)
6
,
pp. 1229-1244
Persistent link: https://www.econbiz.de/10001670773
Saved in:
10
European puts, credit protection, and endogenous default
Cruz López, Jorge
;
Ibáñez, Alfredo
- In:
The quarterly journal of finance
11
(
2021
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012649847
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