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Estimating option-implied risk-neutral densities : a novel parametric approach

Orosi, Greg - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 41-61

Persistent link: https://www.econbiz.de/10011399802

Empirial performance of a spline-based implied volatility surface

Orosi, greg - In: Journal of derivatives & hedge funds 18 (2012) 4, pp. 361-376

Persistent link: https://www.econbiz.de/10009674528

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

Novel no-arbitrage conditions for options written on defaultable assets

Orosi, Greg - In: Journal of derivatives & hedge funds 20 (2014) 4, pp. 201-205

Persistent link: https://www.econbiz.de/10010462904

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 novel method for arbitrage-free option surface construction

Orosi, Greg - In: Annals of financial economics 14 (2019) 4, pp. 1-14

Persistent link: https://www.econbiz.de/10012226655

Information content of right option tails : evidence from S&P 500 index options

Orosi, Greg - In: The journal of asset management 18 (2017) 7, pp. 516-526

Persistent link: https://www.econbiz.de/10011855205

A simple method for extracting the probability of default from American put option prices

Chang, Bo Young; Orosi, Greg - In: Journal of Futures Markets 40 (2020) 10, pp. 1535-1547

Persistent link: https://www.econbiz.de/10012273036

A simple method for extracting the probability of default from American put option prices

Chang, Bo Young; Orosi, Greg - 2020

In this paper, we present a novel method to extract the risk-neutral probability of default of a firm from American put option prices. Building on the idea of a default corridor proposed in Carr and Wu (2011), we derive a parsimonious closed-form formula for American put option prices from which...

Persistent link: https://www.econbiz.de/10012619565