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Pricing the treasury bond futures contract as the minimum value of deliverable bond prices

Barone-Adesi, Giovanni; Elliott, Robert J. - In: Review of futures markets 8 (1989) 3, pp. 438-444

Persistent link: https://www.econbiz.de/10001099129

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

Arbitrage equilibrium with skewed asset returns

Barone-Adesi, Giovanni - In: Journal of financial and quantitative analysis : JFQA 20 (1985) 3, pp. 299-313

Persistent link: https://www.econbiz.de/10001873815

Ein Zweifaktormodell der Zinsstruktur : empirische Analyse und Bewertung zinsderivater Finanzinstrumente

Haverkamp, Tom - 1993

Persistent link: https://www.econbiz.de/10013417949

Stationarity tests of the market model for security returns

Barone-Adesi, Giovanni - In: Journal of accounting, auditing & finance 7 (1992) 3, pp. 369-378

Persistent link: https://www.econbiz.de/10001160660

A test of rational expectations in the index options market

Barone-Adesi, Giovanni - In: Advances in futures and options research : a research annual 5 (1991), pp. 137-147

Persistent link: https://www.econbiz.de/10001123292

On the valuation of American put options on dividend-paying stocks

Barone-Adesi, Giovanni - In: Advances in futures and options research : a research annual 3 (1988), pp. 1-13

Persistent link: https://www.econbiz.de/10001081742

Testing asset pricing models with coskewness

Barone-Adesi, Giovanni; Gagliardini, Patrick; Urga, Giovanni - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 474-485

Persistent link: https://www.econbiz.de/10002374125

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

Is the price kernel monotone?

Barone-Adesi, Giovanni; Dall'O, Hakim - 2010

Persistent link: https://www.econbiz.de/10003973040