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20 research outputs found

Equity Option Implied Probability of Default and Equity Recovery Rate

Author: Bo Young Chang
D Breeden
D Hackbarth
De Marco
E Ayache
E Bayraktar
F Black
G Orosi
G Orosi
G Orosi
Greg Orosi
H E Leland
H E Leland
H Fan
M Broadie
P Carr
P Carr
P Carr
P Carr
R C Merton
R C Merton
R C Merton
S A Davydenko
S J Taylor
V Linetsky
Publication venue: 'Elsevier BV'
Publication date: 01/01/2016
Field of study

Teljesítmény és költségelemzés a sterilizálásban

Author: G. Kiss Gyula
Orosi Piroska
Publication venue
Publication date: 01/12/2017
Field of study

DEA University of Debrecen Electronic Archive

A NOVEL METHOD FOR ARBITRAGE-FREE OPTION SURFACE CONSTRUCTION

Author: Gatheral J
Orosi G
Publication venue: 'World Scientific Pub Co Pte Lt'
Publication date
Field of study

A Multi-Parameter Extension of Figlewski’s Option-Pricing Formula

Author: Dumas B.
Figlewski S.
Gatheral J.
Greg Orosi
Jiang G.
Orosi G.
Yatchew A.J.
Publication venue: 'Pageant Media US'
Publication date
Field of study

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

Author: B Scherer
E Ghysels
F Black
G Bakshi
G Orosi
G Orosi
Greg Orosi
S Figlewski
SA Ross
V DeMiguel
V Henderson
Y Aït-Sahalia
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES

Author: Cassese G.
GIANLUCA CASSESE
Orosi G.
Wassermann L.
Publication venue: 'World Scientific Pub Co Pte Lt'
Publication date
Field of study

Improved lower bounds of call options written on defaultable assets

Author: A Dixit
AM Monteiro
G Orosi
G Orosi
Greg Orosi
J Handley
MR Fengler
P Klein
RC Merton
S Figlewski
U Cherubini
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

Novel no-arbitrage conditions for options written on defaultable assets

Author: A Dixit
AM Monteiro
G Orosi
G Orosi
Greg Orosi
JB Monnier
MR Fengler
P Carr
RC Merton
S Figlewski
U Cherubini
Y Aït-Sahalia
Publication venue: 'Springer Science and Business Media LLC'
Publication date
Field of study

A Novel Method for Arbitrage-Free Option Surface Construction

Author: A Bongiovanni
Chicago Cboe
D A Bloch
D Wu
F Black
G Bakshi
G Guo
G J Jiang
G Orosi
G Orosi
G Orosi
G Orosi
Greg Orosi
J Andreasen
J Gatheral
M Alghalith
M Alghalith
M Britten-Jones
M Ludwig
M R Fengler
M R Fengler
Qiankun Niu
R C Merton
S Benaim
S Figlewski
X Han
Y A�t-Sahalia
Publication venue: 'Elsevier BV'
Publication date: 01/01/2019
Field of study

Information Content of Right Option Tails: Evidence from S&P 500 Index Options (Preprint)

Author: Cme Group
D Breeden
E Ghysels
F Audrino
F Black
G Bakshi
G Orosi
G Orosi
Greg Orosi
S A Ross
S Figlewski
V Demiguel
V Henderson
Y A�?ta�?t-Sahalia
Publication venue: 'Elsevier BV'
Publication date: 01/01/2016
Field of study

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