Adam Schwartz

Washington and Lee University - Department of Business Administration

Lexington, VA 24450

United States

  • Washington and Lee University - Department of Business Administration

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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1.

Implied Binomial Trees in Excel Without Vba

Number of pages: 21 Posted: 08 May 2004
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 4,861 (3,311)

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Option Pricing, Implied Binomial Tree, Excel

2.

Valuing Real Options Using Implied Binomial Trees and Commodity Futures Options

Number of pages: 38 Posted: 08 Jan 2005
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 1,060 (36,483)

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Real Options, Implied Binomial Trees, Commodity Futures Options, Commodities

3.

Valuing Real Options with Implied Binomial Trees

Number of pages: 13 Posted: 08 Jan 2005
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 817 (52,470)

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Real Options, Implied Binomial Trees

4.

Implementing Risk-Averse Implied Binomial Trees: Additional Theory, Empirics, and Extensions

Number of pages: 46 Posted: 03 Jul 2005 Last Revised: 14 Jun 2009
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 576 (82,325)

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Binomial Option Pricing, Implied Binomial Trees, Physical Probabilities, Risk-Neutral Probabilities, Calibration, Representative Agent, Risk-Averse Probabilities, Hedge Funds

5.

Pricing European and American Derivatives Under a Jump-Diffusion Process: A Bivariate Tree Approach

Number of pages: 50 Posted: 23 Jun 2003
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration
Downloads 470 (105,723)
Citation 4

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jump-diffusion, bivariate tree, options

6.

Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees: Additional Theory and Extensions

Number of pages: 19 Posted: 01 Jun 2009
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 262 (200,296)
Citation 1

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Binomial Option Pricing, Implied Binomial Trees, Physical Probabilities, Risk-Neutral Probabilities, Calibration, Representative Agent, Risk-Averse Probabilities

7.

Short Maturity Options and Jump Memory: An Empirical Analysis

Number of pages: 40 Posted: 26 Nov 2002
Tom Arnold, Jimmy E. Hilliard and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration
Downloads 198 (261,433)

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options, jump-memory, jump-diffusions, SPX, genetic

8.

Embedding an NPV Analysis into a Binomial Tree with a Real Options Application

Number of pages: 26 Posted: 24 Feb 2020
Tom Arnold, Timothy Falcon Crack and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance and Washington and Lee University - Department of Business Administration
Downloads 140 (352,916)

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Real option, Binomial tree, embedded NPV analysis

9.

Introducing a Real Option Framework for EVA/MVA Analysis

Number of pages: 28 Posted: 15 Oct 2020
Tom Arnold, Timothy Falcon Crack, Cassandra D. Marshall and Adam Schwartz
University of Richmond - E. Claiborne Robins School of Business, University of Otago - Department of Accountancy and Finance, University of Richmond - Department of Finance and Washington and Lee University - Department of Business Administration
Downloads 96 (465,062)

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economic value added, EVA, market value added, MVA, real option, binomial tree

10.

Clustering of College Football Spreads

Number of pages: 19 Posted: 11 Oct 2011
Adam Schwartz, Bonnie F. Van Ness and Robert A. Van Ness
Washington and Lee University - Department of Business Administration, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads 91 (478,063)

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College Football, Betting Spreads, Clustering

11.

Bivariate Binomial Options Pricing (with an Application to American Futures Options with Stochastic Interest Rates)

Posted: 17 Aug 1999
Jimmy E. Hilliard, Adam Schwartz and Alan L. Tucker
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration, Washington and Lee University - Department of Business Administration and Pace University - Lubin School of Business

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12.

Pricing Options on Traded Assets Under Stochastic Interest Rates and Volatility: A Binomial Approach

The Journal of Financial Engineering, Vol. 6, No. 4, December 1997
Posted: 19 May 1998
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration

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13.

Binomial Option Pricing Under Stochastic Volatility and Correlated State Variables

Downloads 0 (1,055,237)

Binomial Option Pricing Under Stochastic Volatility and Correlated State Variables

J. OF DERIVATIVES, Fall 1996
Posted: 29 Aug 1996
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration

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Binomial Option Pricing Under Stochastic Volatility and Correlated State Variables

Posted: 15 Mar 1995
Jimmy E. Hilliard and Adam Schwartz
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Washington and Lee University - Department of Business Administration

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