Gustavo Freire

Erasmus School of Economics

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

7

DOWNLOADS
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Top 46,925

in Total Papers Downloads

1,545

SSRN CITATIONS

3

CROSSREF CITATIONS

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Scholarly Papers (7)

1.

Can a Machine Correct Option Pricing Models?

Almeida, Fan, Freire, Tang (2022)
Number of pages: 35 Posted: 04 May 2021 Last Revised: 28 Dec 2022
Princeton University, Princeton University - Bendheim Center for Finance, Erasmus School of Economics and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 720 (54,243)

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Deep Learning, Boosting, Implied Volatility, Stochastic Volatility, Model Correction

2.

Pricing of Index Options in Incomplete Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 22 Mar 2021 Last Revised: 10 Jun 2021
Caio Almeida and Gustavo Freire
Princeton University and Erasmus School of Economics
Downloads 327 (140,382)

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3.

Nonparametric Option Pricing with Generalized Entropic Estimators

Number of pages: 35 Posted: 10 Dec 2014 Last Revised: 02 May 2022
Caio Almeida, Gustavo Freire, Rafael Azevedo and Kym Ardison
Princeton University, Erasmus School of Economics, Getulio Vargas Foundation (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Downloads 254 (182,076)

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Risk-Neutral Measure, Option Pricing, Risk Premium, Nonparametric Estimation, Stochastic Volatility, Jumps, Cressie-Read Discrepancies

4.

Tail Risk and Asset Prices in the Short-term

Number of pages: 46 Posted: 23 Sep 2022
Princeton University, Erasmus School of Economics, Université de Montréal and University of Liverpool - Management School (ULMS)
Downloads 176 (255,691)

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Left tail risk, return predictability, factor models, risk-neutralization, high-frequency data

5.

Tail Risk and Investors' Concerns: Evidence from Brazil

North_American Journal of Economics and Finance, Forthcoming
Number of pages: 38 Posted: 02 Aug 2021
Gustavo Freire
Erasmus School of Economics
Downloads 34 (661,632)

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Tail Risk, Risk-Neutral Measure, Return Predictability, Machine Learning, Text-based Analysis

6.

Demand in the Option Market and the Pricing Kernel

Number of pages: 64 Posted: 30 Dec 2022
Caio Almeida and Gustavo Freire
Princeton University and Erasmus School of Economics
Downloads 33 (668,207)

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Pricing Kernel, Option Returns, Option Demand, Market Makers, Risk Premium

7.

Equity Options and Firm Characteristics

Number of pages: 39
Gustavo Freire and Onno Kleen
Erasmus School of Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1

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Firm characteristics, Equity options, Implied volatility, Local linear random forest, Pooled estimation