Greg Orosi

American University of Sharjah

Associate Professor

Sharjah

United Arab Emirates

SCHOLARLY PAPERS

18

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2,108

SSRN CITATIONS
Rank 37,585

SSRN RANKINGS

Top 37,585

in Total Papers Citations

12

CROSSREF CITATIONS

6

Scholarly Papers (18)

1.

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: 25 Aug 2019
Greg Orosi
American University of Sharjah
Downloads 504 (60,579)

Abstract:

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

2.

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 503 (60,719)
Citation 1

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

3.

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

Journal of Asset Management, Volume 18, Issue 7, pp 516ā€“526
Number of pages: 18 Posted: 18 Oct 2015 Last Revised: 25 Aug 2019
Greg Orosi
American University of Sharjah
Downloads 215 (155,334)
Citation 1

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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. 49ā€“64, 2010
Number of pages: 16 Posted: 17 Aug 2011 Last Revised: 20 May 2014
Greg Orosi
American University of Sharjah
Downloads 167 (195,129)

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stochastic local volatility, calibration, exotic option pricing

5.

Equity Option Implied Probability of Default and Equity Recovery Rate

Journal of Futures Markets, Vol. 37, No. 6, 2017
Number of pages: 20 Posted: 05 Dec 2015 Last Revised: 26 Aug 2019
Bo Young Chang and Greg Orosi
Bank of Canada and American University of Sharjah
Downloads 137 (229,732)
Citation 3

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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 113 (265,628)
Citation 1

Abstract:

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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. 1ā€“9, 2012
Number of pages: 9 Posted: 17 Aug 2011 Last Revised: 04 May 2013
Greg Orosi
American University of Sharjah
Downloads 108 (274,224)

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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 74 (347,640)

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

9.

A Novel Method for Arbitrage-Free Option Surface Construction

Forthcoming, Annals of Financial Economics
Number of pages: 18 Posted: 30 Jun 2019 Last Revised: 26 Aug 2019
Greg Orosi
American University of Sharjah
Downloads 58 (394,611)

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

10.

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 51 (418,680)

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

11.

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 50 (422,267)
Citation 1

Abstract:

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option, arbitrage, lower bounds, default, market efficiency

12.

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 48 (429,649)

Abstract:

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option, arbitrage, bounds, default, derivative pricing

13.

A Simple Method for Extracting the Probability of Default from American Put Option Prices

Number of pages: 20 Posted: 14 Feb 2020
Bo Young Chang and Greg Orosi
Bank of Canada and American University of Sharjah
Downloads 43 (449,123)

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default, probability of default, American put option, arbitrage, lower bounds

14.

Extracting Option-Implied Probability of Default: A Novel Method

Number of pages: 21 Posted: 18 Sep 2019
Greg Orosi
American University of Sharjah
Downloads 37 (474,724)

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default, probability of default, American put options, arbitrage, lower bounds

15.

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 (726,702)

Abstract:

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

16.

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:

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

17.

A Multi-Parameter Extension of Figlewskiā€™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:

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

18.

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:

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