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Pearson, Neil D.; Smithson, Charles - In: Review of Financial Economics 11 (2002) 3, pp. 175-189

Persistent link: https://www.econbiz.de/10005204949

Risk measurement: an introduction to value at risk

Linsmeier, Thomas J.; Pearson, Neil D. - Department of Agricultural and Consumer Economics, … - 1996

This paper is a self-contained introduction to the concept and methodology of "value at risk," which is a new tool for measuring an entity's exposure to market risk. We explain the concept of value at risk, and then describe in detail the three methods for computing it: historical simulation;...

Persistent link: https://www.econbiz.de/10005338880

AN EFFICIENT APPROACH FOR PRICING SPREAD OPTIONS

Pearson, Neil D. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 76-91

Persistent link: https://www.econbiz.de/10007331310

Option Value, Uncertainty, and the Investment Decision

Kandel, Eugene; Pearson, Neil D. - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 3, pp. 341-374

Persistent link: https://www.econbiz.de/10006695338

Stock price clustering on option expiration dates

Xiaoyan Ni, Sophie; Pearson, Neil D.; Poteshman, Allen M. - In: Journal of financial economics 78 (2005) 1, pp. 49-88

Persistent link: https://www.econbiz.de/10006500660

Conditional estimation of diffusion processes

Li, Minqiang; Pearson, Neil D.; Poteshman, Allen M. - In: Journal of financial economics 74 (2004) 1, pp. 31-66

Persistent link: https://www.econbiz.de/10006503362

Open-end mutual funds and capital-gains taxes

Barclay, Michael J.; Pearson, Neil D.; Weisbach, Michael S. - In: Journal of financial economics 49 (1998) 1, pp. 3-44

Persistent link: https://www.econbiz.de/10006522775

Differential Interpretation of Public Signals and Trade in Speculative Markets

Kandel, Eugene; Pearson, Neil D. - In: Journal of political economy 103 (1995) 4, pp. 831-872

Persistent link: https://www.econbiz.de/10007626573

Option Market Activity

Lakonishok, Josef; Lee, Inmoo; Pearson, Neil D.; … - In: The review of financial studies 20 (2007) 3, pp. 813-858

Persistent link: https://www.econbiz.de/10007729513

Is there price discovery in equity options?

Muravyev, Dmitriy; Pearson, Neil D.; Paul Broussard, John - In: Journal of financial economics 107 (2013) 2, pp. 259-283

Persistent link: https://www.econbiz.de/10010071651