Gaia Barone

LUISS Guido Carli, Department of Business and Management

Assistant Professor

Viale Romania, 32

Rome, Rome 00197

Italy

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 40,843

SSRN RANKINGS

Top 40,843

in Total Papers Downloads

766

CITATIONS

1

Scholarly Papers (5)

1.

Arbitrages and Arrow-Debreu Prices

Number of pages: 30 Posted: 23 Apr 2008
Gaia Barone
LUISS Guido Carli, Department of Business and Management
Downloads 370 (59,997)

Abstract:

2.

Equity Options, Credit Default Swaps and Leverage: A Simple Stochastic-Volatility Model for Equity and Credit Derivatives

Number of pages: 24 Posted: 01 May 2011 Last Revised: 14 Feb 2012
Gaia Barone
LUISS Guido Carli, Department of Business and Management
Downloads 194 (116,818)

Abstract:

equity options, credit default swaps, leverage, stochastic volatility, perpetual options, first-touch digitals, Greeks, default probabilities, put-call parity

3.

Equity Options and Bond Options in the Leland Model

Number of pages: 43 Posted: 08 Mar 2011 Last Revised: 14 Feb 2012
Gaia Barone
LUISS Guido Carli, Department of Business and Management
Downloads 141 (149,473)
Citation 1

Abstract:

perpetual American options, binary barrier options, first-touch digitals, put-call parity

4.

Mimicking Credit Ratings by a Perpetual-Debt Structural Model

Number of pages: 11 Posted: 12 Jan 2016 Last Revised: 12 May 2016
Gaia Barone
LUISS Guido Carli, Department of Business and Management
Downloads 0 (410,304)

Abstract:

Credit, Banking, Risk management

5.

European Compound Options Written on Perpetual American Options

Journal of Derivatives, Vol. 20, No. 3: pp. 61-74, Spring 2013
Posted: 17 Nov 2010
Gaia Barone
LUISS Guido Carli, Department of Business and Management

Abstract:

perpetual options, compound options, barrier options, first-touch digitals, Greeks, put-call parity, distance to exercise, time to exercise