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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

The saga of the American put

Barone-Adesi, Giovanni - In: Journal of banking & finance 29 (2005) 11, pp. 2909-2918

Persistent link: https://www.econbiz.de/10003121063

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

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

Efficient analytic approximation of American option values

Barone-Adesi, Giovanni - In: The journal of finance : the journal of the American … 42 (1987) 2, pp. 301-320

Persistent link: https://www.econbiz.de/10001047785

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 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

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

On the lease rate, convenience yield and speculative effects in the gold futures market

Barone-Adesi, Giovanni; Geman, Hélyette; Theal, John - In: International journal of financial engineering and risk … 1 (2014) 3, pp. 282-307

Persistent link: https://www.econbiz.de/10010476912

Value at risk under jump GARCH processes

Sorwar, Ghulam; Barone-Adesi, Giovanni - In: Banking and finance review 2 (2010) 1, pp. 27-36

Persistent link: https://www.econbiz.de/10008936635