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EFMA 2004 Basel Meetings (Archive)
2,057 Total downloads | Link to this page
Showing Papers 1 - 12 of 12
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Incl. Electronic Paper Pricing American Options Under High-Dimensional Models with Recursive Adaptive Sparse Expectations
Simon Scheidegger and Adrien Treccani
University of Zurich and University of Zurich
Date Posted: November 11, 2016
Working Paper Series
52 downloads

Incl. Fee Electronic Paper On the Application of Spectral Filters in a Fourier Option Pricing Technique
Journal of Computational Finance, Vol. 19, No. 1, Pages 75–106, 2015,
Marjon Ruijter, Mark Versteegh and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Date Posted: June 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Timing of Wind Farm Repowering: A Two-Factor Real Options Analysis
Journal of Energy Markets, Vol. 7, No. 3, 2014
Sebastian Himpler and Reinhard Madlener
RWTH Aachen University and RWTH Aachen University
Date Posted: June 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Pricing and Hedging Multiasset Spread Options Using a Three-Dimensional Fourier Cosine Series Expansion Method
Journal of Energy Markets, Vol. 7, No. 2, 2014
Tommaso Pellegrino and Piergiacomo Sabino
affiliation not provided to SSRN and E.ON Global Commodities
Date Posted: June 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Efficient Variations of the Fourier Transform in Applications to Option Pricing
Journal of Computational Finance, Vol. 18, No. 2, 2014
Svetlana Boyarchenko and Sergei Levendorskii
University of Texas at Austin - Department of Economics and University of Leicester
Date Posted: June 04, 2016
Accepted Paper Series

Incl. Electronic Paper Option Pricing Model: Comparing Louis Bachelier with Black-Scholes Merton
Ian A Thomson
University of St Joseph
Date Posted: May 22, 2016
Working Paper Series
539 downloads

Incl. Electronic Paper Pricing and Hedging of European Plain Vanilla Options under Jump Uncertainty
Olaf Menkens
Dublin City University - School of Mathematical Sciences
Date Posted: May 03, 2016
Last Revised: June 12, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Examination of Potential Misrepresentation in CMBS
Ruoyu Shao
University of Texas at Austin - Department of Economics
Date Posted: February 03, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets
BIS Working Paper No. 521
Laurent Barras and Aytek Malkhozov
McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System
Date Posted: October 15, 2015
Working Paper Series
62 downloads

Incl. Electronic Paper Risk Premia in Option Markets
Robert H. Smith School Research Paper No. RHS 2635650
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: July 26, 2015
Working Paper Series
266 downloads

Incl. Electronic Paper Shareholder/Option Holder Profit Splits on Stock Buybacks as a Measure of Liability (#10) - Summary of 11 Case Studies (AMAT, CSCO, CY, INTC, NSM, NVDA, ORCL, SNPS, SYMC, TXN, XLNX)
M. A. Gumport
MG Holdings/SIP
Date Posted: July 21, 2007
Last Revised: April 21, 2009
Working Paper Series
218 downloads

Incl. Electronic Paper Internal Capital Market and Dividend Policies: Evidence from Business Groups
AFA 2007 Chicago Meetings Paper
Radhakrishnan Gopalan, Vikram K. Nanda and Amit Seru
Washington University in St. Louis - John M. Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Stanford University
Date Posted: January 03, 2005
Last Revised: August 31, 2011
Working Paper Series
831 downloads