Greg Orosi

American University of Sharjah

Associate Professor

Sharjah

United Arab Emirates

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 25,260

SSRN RANKINGS

Top 25,260

in Total Papers Downloads

1,832

CITATIONS
Rank 34,767

SSRN RANKINGS

Top 34,767

in Total Papers Citations

15

Scholarly Papers (16)

1.

Arbitrage-Free Call Option Surface Construction Using Regression Splines (Preprint)

Applied Stochastic Models in Business and Industry, Vol. 31, No. 4, 2015.
Number of pages: 27 Posted: 08 Nov 2011 Last Revised: 24 Oct 2015
Greg Orosi
American University of Sharjah
Downloads 487 (56,886)
Citation 1

Abstract:

Loading...

Nonparametric, Index Option Pricing, Implied Volatility, Arbitrage-Free, Volatility Smile, Volatility Surface, Interpolation, Splines

2.

A Simple Derivation of Risk-Neutral Probability in the Binomial Option Pricing Model

International Journal of Mathematical Education in Science and Technology, Vol. 46, No. 1, 2015.
Number of pages: 6 Posted: 25 Apr 2014 Last Revised: 24 Oct 2015
Greg Orosi
American University of Sharjah
Downloads 388 (74,953)

Abstract:

Loading...

derivative, arbitrage, arbitrage-free pricing, risk-neutral, risk-neutral probability

3.

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

Journal of Asset Management, Volume 18, Issue 7, pp 516–526
Number of pages: 18 Posted: 18 Oct 2015 Last Revised: 08 Nov 2017
Greg Orosi
American University of Sharjah
Downloads 206 (146,725)
Citation 1

Abstract:

Loading...

Trading strategy, Option-implied information, Performance evaluation

4.

Empirical Performance of Option Pricing Models with Stochastic Local Volatility

Mathematical Modelling and Applied Computing (MMAC), Vol. 1, No. 1, pp. 49–64, 2010
Number of pages: 16 Posted: 17 Aug 2011 Last Revised: 20 May 2014
Greg Orosi
American University of Sharjah
Downloads 162 (182,098)

Abstract:

Loading...

stochastic local volatility, calibration, exotic option pricing

5.

Equity Option Implied Probability of Default and Equity Recovery Rate

Journal of Futures Markets, Forthcoming
Number of pages: 20 Posted: 05 Dec 2015 Last Revised: 19 Sep 2016
Bo Young Chang and Greg Orosi
Bank of Canada and American University of Sharjah
Downloads 133 (214,252)

Abstract:

Loading...

option, default, probability of default, arbitrage bounds

6.

A Robust Method to Retrieve Option Implied Risk Neutral Densities for Defaultable Assets

International Journal of Financial Markets and Derivatives, Vol. 5 No. 2/3/4, pp. 212-224, 2016.
Number of pages: 17 Posted: 24 Sep 2013 Last Revised: 06 Apr 2017
Guillaume Leduc and Greg Orosi
American University of Sharjah and American University of Sharjah
Downloads 109 (248,393)
Citation 1

Abstract:

Loading...

option pricing, no-arbitrage constraints, risk neutral density, state price density

7.

Evaluating the Performance of Structural Option Pricing Models

Mathematical Modelling and Applied Computing (MMAC), Vol. 3, No. 1, pp. 1–9, 2012
Number of pages: 9 Posted: 17 Aug 2011 Last Revised: 04 May 2013
Greg Orosi
American University of Sharjah
Downloads 107 (251,603)

Abstract:

Loading...

exotic option pricing, calibration, empirical performance

8.

Closed-Form Interpolation-Based Formulas for European Call Options Written on Defaultable Assets

Journal of Asset Management, Vol. 16, No. 4, 2015.
Number of pages: 13 Posted: 26 Dec 2014 Last Revised: 24 Oct 2015
Greg Orosi
American University of Sharjah
Downloads 73 (319,929)

Abstract:

Loading...

call option pricing; European call option; closed-form formula; default; probability of default

9.

Generalized Tikhonov Regularization of Thin-Plate Splines

ICIC Express Letters, Volume 7, Number 12, December 2013.
Number of pages: 4 Posted: 30 Nov 2013
Greg Orosi
American University of Sharjah
Downloads 49 (389,491)

Abstract:

Loading...

Ill-posed problem, Tikhonov regularization, Thin-plate splines, Nonparametric regression

10.

Novel No-Arbitrage Conditions for Options Written on Defaultable Assets

Journal of Derivatives & Hedge Funds, Vol. 20, No. 4, 2014.
Number of pages: 7 Posted: 29 Jun 2014 Last Revised: 24 Oct 2015
Greg Orosi
American University of Sharjah
Downloads 48 (392,978)

Abstract:

Loading...

option, arbitrage, lower bounds, default, market efficiency

11.

Improved Lower Bounds of Call Options Written on Defaultable Assets

Journal of Derivatives & Hedge Funds, Vol. 20, No. 3, 2014.
Number of pages: 6 Posted: 17 May 2014 Last Revised: 24 Oct 2015
Greg Orosi
American University of Sharjah
Downloads 46 (399,945)

Abstract:

Loading...

option, arbitrage, bounds, default, derivative pricing

12.

A Novel Method for Arbitrage-Free Option Surface Construction

Number of pages: 17 Posted: 30 Jun 2019
Greg Orosi
American University of Sharjah
Downloads 24 (496,069)

Abstract:

Loading...

Arbitrage-free, European Option, Option Surface, Index option, VIX index

13.

Estimating Option Implied Risk Neutral Densities: A Novel Parametric Approach (Preprint)

Journal of Derivatives, Vol. 23, No. 1, 2015, https://doi.org/10.3905/jod.2015.23.1.041
Posted: 20 May 2019
Greg Orosi
American University of Sharjah
Downloads 0 (666,371)

Abstract:

Loading...

option pricing, arbitrage-free, risk neutral density, empirical performance

14.

Improved Implementation of Local Volatility and its Application to S&P 500 Index Options

Journal of Derivatives, Vol. 17, No. 3, 2010
Posted: 17 Aug 2011
Greg Orosi
American University of Sharjah

Abstract:

Loading...

empirical performance, volatility surface, local volatility, splines, interpolation

15.

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

Journal of Derivatives, Vol. 19, No. 1, 2011
Posted: 17 Aug 2011 Last Revised: 18 Aug 2011
Greg Orosi
American University of Sharjah

Abstract:

Loading...

empirical performance, interpolation, arbitrage-free, index option pricing

16.

Empirical Performance of a Spline-Based Implied Volatility Surface

Journal of Derivatives & Hedge Funds, Vol. 18, No. 4, 2012.
Posted: 17 Aug 2011 Last Revised: 24 Oct 2015
Greg Orosi
American University of Sharjah

Abstract:

Loading...

implied volatility surface, nonparametric, empirical performance, spline, regularization, equity index options