Paola Pederzoli

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

Houston, TX 77204-6021

United States

SCHOLARLY PAPERS

3

DOWNLOADS

970

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.
Downloads 458 ( 75,532)

Skewness Swaps on Individual Stocks

Swiss Finance Institute Research Paper No. 18-31, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 62 Posted: 29 Mar 2018 Last Revised: 21 Nov 2020
Paola Pederzoli
University of Houston - C.T. Bauer College of Business
Downloads 299 (121,754)

Abstract:

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Skewness risk premium, skewness swap, financial crisis, short-selling constraints

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 159 (222,803)

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

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 University of Geneva GSEM and GFRI
Downloads 243 (150,872)

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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 University of Geneva GSEM and GFRI
Downloads 64 (414,035)

Abstract:

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

3.

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 University of Geneva GSEM and GFRI
Downloads 205 (177,918)
Citation 7

Abstract:

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