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Closed-form interpolation-based formulas for European call options written on defaultable assets

Orosi, Greg - In: The journal of asset management 16 (2015) 4, pp. 236-242

Persistent link: https://www.econbiz.de/10011413347

Improved lower bounds of call options written on defaultable assets

Orosi, Greg - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 127-130

Persistent link: https://www.econbiz.de/10010462983

A multi-parameter extension of Figlewski’s option-pricing formula

Orosi, Greg - In: The journal of derivatives : the official publication … 19 (2011) 1, pp. 72-82

Persistent link: https://www.econbiz.de/10009316794

A robust method to retrieve option implied risk neutral densities for defaultable assets

Leduc, Guillaume; Orosi, Greg - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 212-224

Persistent link: https://www.econbiz.de/10011742316

A Simple Derivation of Risk-Neutral Probability in the Binomial Option Pricing Model

Orosi, Greg - 2019

The traditional derivation of risk-neutral probability in the binomial option pricing framework used in introductory mathematical finance courses is straightforward, but employs several different concepts and is is not algebraically simple. In order to overcome this drawback of the standard...

Persistent link: https://www.econbiz.de/10012904924