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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

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

ESG disclosure and portfolio performance

Bermejo Climent, Ramón; Figuerola-Ferretti Garrigues, … - In: Risks : open access journal 9 (2021) 10, pp. 1-14

This paper illustrates the impact of Environmental Social and Governance (ESG) disclosure on European corporate equity performance. In this study, we use an extensive data set of European ESG ratings provided by Bloomberg to demonstrate that ESG disclosure is associated with improved return...

Persistent link: https://www.econbiz.de/10012632189

Mild explosivity in recent crude oil prices

Figuerola-Ferretti, Isabel; MacCrorie, J. Roderick; … - In: Energy economics 87 (2020), pp. 1-25

Persistent link: https://www.econbiz.de/10012512610

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

Recursive lower and dual upper bounds for Bermudan-style options

Ibáñez, Alfredo; Velasco, Carlos - In: European journal of operational research : EJOR 280 (2020) 2, pp. 730-740

Persistent link: https://www.econbiz.de/10012132467

The eurozone (expected) inflation : an option's eyes view

Gimeno, Ricardo; Ibáñez, Alfredo - In: Journal of international money and finance 86 (2018), pp. 70-92

Persistent link: https://www.econbiz.de/10012000473

The optimal method for pricing Bermudan options by simulation

Ibáñez, Alfredo; Velasco, Carlos - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1143-1180

Persistent link: https://www.econbiz.de/10011969082

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

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