Follow
Giovanni Barone Adesi
Title
Cited by
Cited by
Year
Efficient analytic approximation of American option values
G Barone‐Adesi, RE Whaley
the Journal of Finance 42 (2), 301-320, 1987
16411987
VaR without correlations for portfolios of derivative securities
G Barone‐Adesi, K Giannopoulos, L Vosper
Journal of Futures Markets 19 (5), 583-602, 1999
4911999
A GARCH option pricing model with filtered historical simulation
G Barone-Adesi, RF Engle, L Mancini
The review of financial studies 21 (3), 1223-1258, 2008
3152008
Don't look back
G Barone-Adesi, F Bourgoin, K Giannopoulos
2901998
Arbitrage equilibrium with skewed asset returns
G Barone-Adesi
Journal of Financial and Quantitative Analysis 20 (3), 299-313, 1985
2071985
Backtesting derivative portfolios with filtered historical simulation (FHS)
G Barone‐Adesi, K Giannopoulos, L Vosper
European Financial Management 8 (1), 31-58, 2002
1632002
Testing asset pricing models with coskewness
G Barone Adesi, P Gagliardini, G Urga
Journal of Business & Economic Statistics 22 (4), 474-485, 2004
1372004
Non parametric VaR techniques. Myths and realities
G Barone‐Adesi, K Giannopoulos
Economic Notes 30 (2), 167-181, 2001
1332001
Seasonality in Canadian stock prices: A test of the “tax-loss-selling” hypothesis
SM Tinic, G Barone-Adesi, RR West
Journal of Financial and Quantitative Analysis 22 (1), 51-63, 1987
1291987
The saga of the American put
G Barone-Adesi
Journal of Banking & Finance 29 (11), 2909-2918, 2005
932005
Approximations for the values of American options
G Barone-Adesi, RJ Elliott
Stochastic Analysis and Applications 9 (2), 115-131, 1991
881991
The valuation of American call options and the expected ex-dividend stock price decline
G Barone-Adesi, RE Whaley
Journal of Financial Economics 17 (1), 91-111, 1986
851986
Two-factor convertible bonds valuation using the method of characteristics/finite elements
G Barone-Adesi, A Berm˙dez, J Hatgioannides
Journal of Economic Dynamics and Control 27 (10), 1801-1831, 2003
812003
Equity financing and corporate convertible bond policy
P Jalan, G Barone-Adesi
Journal of Banking & Finance 19 (2), 187-206, 1995
631995
An option pricing formula for the GARCH diffusion model
G Barone-Adesi, H Rasmussen, C Ravanelli
Computational Statistics & Data Analysis 49 (2), 287-310, 2005
622005
Numerical evaluation of the critical price and American options
W Allegretto, G Barone-Adesi, RJ Elliott
The European Journal of Finance 1 (1), 69-78, 1995
521995
Market models and heteroscedasticity of residual security returns
G Barone-Adesi, PP Talwar
Journal of Business & Economic Statistics 1 (2), 163-168, 1983
481983
A GARCH option pricing model in incomplete markets
G Barone-Adesi, RF Engle, L Mancini
Review of Financial Studies 21 (3), 1223-1258, 2008
412008
On the valuation of American put options on dividend-paying stocks
G Barone-Adesi, RE Whaley
University of Alberta. Institute for Financial Research, 1988
391988
VaR and CVaR implied in option prices
G Barone Adesi
Journal of Risk and Financial Management 9 (1), 2, 2016
372016
The system can't perform the operation now. Try again later.
Articles 1–20