Gergely (Greg) Orosi

affiliation not provided to SSRN

SCHOLARLY PAPERS

18

DOWNLOADS
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2,795

SSRN CITATIONS
Rank 40,512

SSRN RANKINGS

Top 40,512

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
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 936 (35,933)

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
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 552 (72,034)
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 516–526
Number of pages: 18 Posted: 18 Oct 2015 Last Revised: 25 Aug 2019
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 244 (177,939)
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. 49–64, 2010
Number of pages: 16 Posted: 17 Aug 2011 Last Revised: 20 May 2014
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 175 (241,007)

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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 Gergely (Greg) Orosi
Bank of Canada and affiliation not provided to SSRN
Downloads 149 (275,332)
Citation 3

Abstract:

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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 Gergely (Greg) Orosi
American University of Sharjah and affiliation not provided to SSRN
Downloads 119 (326,610)
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. 1–9, 2012
Number of pages: 9 Posted: 17 Aug 2011 Last Revised: 04 May 2013
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 112 (340,871)

Abstract:

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exotic option pricing, calibration, empirical performance

8.

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
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 111 (342,961)

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

9.

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 Gergely (Greg) Orosi
Bank of Canada and affiliation not provided to SSRN
Downloads 87 (401,143)

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

10.

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
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 80 (421,481)

Abstract:

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

11.

Extracting Option-Implied Probability of Default: A Novel Method

Number of pages: 21 Posted: 18 Sep 2019
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 63 (478,912)

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

12.

Generalized Tikhonov Regularization of Thin-Plate Splines

ICIC Express Letters, Volume 7, Number 12, December 2013.
Number of pages: 4 Posted: 30 Nov 2013
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 61 (486,559)

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

13.

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
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 53 (519,116)
Citation 1

Abstract:

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option, arbitrage, lower bounds, default, market efficiency

14.

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
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 53 (519,116)

Abstract:

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option, arbitrage, bounds, default, derivative pricing

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
Gergely (Greg) Orosi
affiliation not provided to SSRN
Downloads 0 (926,617)

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
Gergely (Greg) Orosi
affiliation not provided to SSRN

Abstract:

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

17.

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
Gergely (Greg) Orosi
affiliation not provided to SSRN

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
Gergely (Greg) Orosi
affiliation not provided to SSRN

Abstract:

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