Martina Nardon

Ca Foscari University of Venice - Dipartimento di Economia

Cannaregio 873

Venice, 30121

Italy

SCHOLARLY PAPERS

8

DOWNLOADS
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CITATIONS
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in Total Papers Citations

3

Scholarly Papers (8)

1.

First Passage and Excursion Time Models for Valuing Defaultable Bonds

Number of pages: 28 Posted: 07 Nov 2005
Martina Nardon
Ca Foscari University of Venice - Dipartimento di Economia
Downloads 199 (117,489)
Citation 1

Abstract:

Credit risk, structural models, default boundary, first-passage time, excursion time

2.

Extracting Information on Implied Volatilities and Discrete Dividends from American Option Prices

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 25
Number of pages: 26 Posted: 06 Nov 2012
Martina Nardon and Paolo Pianca
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 144 (129,270)

Abstract:

options on stocks, discrete dividends, lattice methods, implied volatilities, implied dividends

3.

Prospect Theory: An Application to European Option Pricing

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 34/WP/2012
Number of pages: 19 Posted: 22 Dec 2012
Martina Nardon and Paolo Pianca
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 133 (137,519)

Abstract:

Behavioral Finance, Cumulative Prospect Theory, European Option Pricing

4.

Valuing Defaultable Bonds: An Excursion Time Approach

Number of pages: 16 Posted: 01 Dec 2005
Martina Nardon
Ca Foscari University of Venice - Dipartimento di Economia
Downloads 95 (210,807)
Citation 2

Abstract:

Credit risk, structural models, excursion approach, default threshold

5.

First Passage and Excursion Time Models for Valuing Defaultable Bonds: A Review with Some Insights

Frontiers in Finance and Economics, Vol. 5, No. 2, pp. 1-25, 2008
Number of pages: 25 Posted: 26 Jan 2010
Martina Nardon
Ca Foscari University of Venice - Dipartimento di Economia
Downloads 56 (271,035)

Abstract:

Credit Risk, Structural Models, Default Boundary, First-Passage Time, Excursion Time

6.

European Option Pricing with Constant Relative Sensitivity Probability Weighting Function

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 25/WP/2014
Number of pages: 32 Posted: 18 Dec 2014
Martina Nardon and Paolo Pianca
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 16 (415,766)

Abstract:

Behavioral finance, cumulative prospect theory, curvature, elevation, European option pricing

7.

Covered Call Writing in a Cumulative Prospect Theory Framework

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 35/WP/2016
Number of pages: 23 Posted: 01 Dec 2016
Martina Nardon and Paolo Pianca
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 0 (405,874)

Abstract:

Behavioral Finance, Cumulative Prospect Theory, Hedonic Framing, Options Trading Strategies

8.

Probability Weighting Functions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 29/WP/2015
Number of pages: 18 Posted: 17 Oct 2015
Martina Nardon and Paolo Pianca
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 0 (296,911)

Abstract:

Cumulative prospect theory, probability weighting function