Similar Search Results

Chesney, Marc; Barone-Adesi, Giovanni - 1993

Persistent link: https://www.econbiz.de/10000882096

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

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

A test of the homogeneity of asset pricing models

Barone-Adesi, Giovanni; Gagliardini, Patrick; Urga, Giovanni - In: Multi-moment asset allocation and pricing models, (pp. 223-230). 2006

Persistent link: https://www.econbiz.de/10003477411

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

Conditioning the information in portfolio optimization

Sala, Carlo; Barone-Adesi, Giovanni - 2015

This paper proposes a theoretical analysis on the impacts of using a suboptimal information set on the three main components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is carried out by means of a portfolio optimization...

Persistent link: https://www.econbiz.de/10011506342