Paola Pederzoli

University of Houston - C.T. Bauer College of Business

Houston, TX 77204-6021

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 41,721

SSRN RANKINGS

Top 41,721

in Total Papers Downloads

2,164

SSRN CITATIONS

8

CROSSREF CITATIONS

3

Scholarly Papers (5)

The Crash Risk in Individual Stocks Embedded in Skewness Swap Returns

Swiss Finance Institute Research Paper No. 18-31, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 29 Mar 2018 Last Revised: 30 Oct 2023
Paola Pederzoli
University of Houston - C.T. Bauer College of Business
Downloads 675 (69,534)

Abstract:

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Skewness risk premium, skewness swap, financial crisis

Crash Risk in Individual Stocks

Number of pages: 66 Posted: 01 Nov 2016 Last Revised: 20 Nov 2017
Paola Pederzoli
University of Houston - C.T. Bauer College of Business
Downloads 193 (279,716)

Abstract:

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risk premium, skewness, risk neutral skewness, realised skewness, financial crisis, equity market, empirical asset pricing, trading strategy

2.

Identifying Demand and Supply in Index Option Markets

Number of pages: 62 Posted: 06 Jul 2022 Last Revised: 08 Jan 2024
Kris Jacobs, Anh Thu Mai and Paola Pederzoli
University of Houston - C.T. Bauer College of Business, Purdue University Northwest and University of Houston - C.T. Bauer College of Business
Downloads 470 (110,600)

Abstract:

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Latent Demand, Demand and Supply Elasticity, Index Options, Intermediaries, Market-Makers, Net Demand Pressure, Pure-Sign Restricted VAR, Covid-19 Crisis, Financial Crisis

Valuing American Options Using Fast Recursive Projections

Number of pages: 69 Posted: 25 Jun 2012 Last Revised: 07 Dec 2018
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and Swiss Finance Institute - University of Geneva
Downloads 286 (190,797)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

Valuing American Options Using Fast Recursive Projections

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 02 Jun 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and Swiss Finance Institute - University of Geneva
Downloads 107 (453,790)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

4.

Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps

Swiss Finance Institute Research Paper No. 16-73
Number of pages: 74 Posted: 09 Dec 2016 Last Revised: 16 Mar 2018
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and Swiss Finance Institute - University of Geneva
Downloads 276 (199,015)
Citation 12

Abstract:

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5.

Non-Linear CAPM: Evidence From In-The-Money Options Trading

Number of pages: 44 Posted: 21 Oct 2022 Last Revised: 23 Mar 2023
Paola Pederzoli and Mirela Sandulescu
University of Houston - C.T. Bauer College of Business and University of Michigan, Ross School of Business
Downloads 157 (335,701)

Abstract:

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Minimum variance SDF, Index Options, Public Investors