Mark Broadie

Columbia University - Columbia Business School - Decision Risk and Operations

Carson Family Professor of Business

New York, NY

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 11,008

SSRN RANKINGS

Top 11,008

in Total Papers Downloads

3,384

CITATIONS
Rank 3,033

SSRN RANKINGS

Top 3,033

in Total Papers Citations

181

Scholarly Papers (15)

1.
Downloads 967 ( 17,271)
Citation 37

Understanding Index Option Returns

AFA 2008 New Orleans Meetings Paper
Number of pages: 51 Posted: 28 Feb 2007
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School - Finance and Economics and UCLA Anderson
Downloads 861 (20,144)
Citation 37

Abstract:

put pricing puzzle, option returns, jump-diffusion models, risk premia

Understanding Index Option Returns

Review of Financial Studies, Vol. 22, No. 11, pp. 4493-4529, 2009
Number of pages: 48 Posted: 22 Oct 2011
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia University - Columbia Business School
Downloads 59 (295,849)
Citation 37

Abstract:

Understanding Index Option Returns

Review of Financial Studies, Vol. 22, No. 11, pp. 4493-4529, 2008, Columbia Business School Research Paper
Number of pages: 48 Posted: 20 Oct 2011
Mark Broadie, Mikhail Chernov and Michael Johannes
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia University
Downloads 46 (332,969)
Citation 37

Abstract:

Understanding Index Option Returns

CEPR Discussion Paper No. DP6239
Number of pages: 54 Posted: 21 May 2008
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia Business School - Finance and Economics
Downloads 1 (553,578)
Citation 37
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Abstract:

jump risk premia, jump-diffusion models, options returns, put pricing puzzle

Understanding Index Option Returns

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4493-4529, 2009
Posted: 08 Dec 2009
Mark Broadie and Mikhail Chernov
Columbia University - Columbia Business School - Decision Risk and Operations and UCLA Anderson

Abstract:

2.

Optimal Replication of Contingent Claims under Portfolio Constraints

Number of pages: 19 Posted: 31 Oct 1996
Mark Broadie, Jaksa Cvitanic and Halil Mete Soner
Columbia University - Columbia Business School - Decision Risk and Operations, California Institute of Technology - Division of the Humanities and Social Sciences and Koc University - College of Administrative Sciences and Economics
Downloads 741 (24,671)
Citation 14

Abstract:

3.

Safety First Portfolio Insurance

Number of pages: 11 Posted: 04 Mar 2008
William N. Goetzmann and Mark Broadie
Yale School of Management - International Center for Finance and Columbia University - Columbia Business School - Decision Risk and Operations
Downloads 667 (27,755)
Citation 1

Abstract:

insurance, Telser, risk, insurance portfolio

4.

Model Specification and Risk Premia: Evidence from Futures Options

Number of pages: 71 Posted: 20 Feb 2004
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School - Finance and Economics and UCLA Anderson
Downloads 463 (46,669)
Citation 97

Abstract:

5.

Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11

Number of pages: 49 Posted: 05 Feb 2005
Columbia University - Columbia Business School - Decision Risk and Operations, UCLA Anderson and Columbia Business School - Finance and Economics
Downloads 247 (94,628)
Citation 28

Abstract:

Contingent Claims Approach, Default, Liquidation, Optimal Security Values, Control transfer

6.

Growth Options and Optimal Default Under Liquidity Constraints: The Role of Corporate Cash Balances

Columbia Business School Research Paper
Number of pages: 42 Posted: 24 Aug 2011
AQR Capital Management, LLC, Columbia University - Columbia Business School - Decision Risk and Operations and Columbia Business School - Finance and Economics
Downloads 108 (192,438)
Citation 3

Abstract:

7.

Assessing Golfer Performance on the PGA Tour

Interfaces, Forthcoming
Number of pages: 31 Posted: 22 Feb 2011
Mark Broadie
Columbia University - Columbia Business School - Decision Risk and Operations
Downloads 98 (191,244)
Citation 1

Abstract:

Golf, Performance Modeling, Dynamic Programming, Statistical Analysis

8.

The Effect of Jumps and Discrete Sampling on Volatility and Variance Swaps

International Journal of Theoretical and Applied Finance, Vol. 11, No. 8, pp. 761-797, 2008
Posted: 02 Dec 2009
Mark Broadie and Ashish Jain
Columbia University - Columbia Business School - Decision Risk and Operations and Columbia University - Columbia Business School

Abstract:

Variance swaps, volatility swaps, VIX, stochastic volatility, jump models

9.

American Capped Call Options on Dividend Paying Assets

REVIEW OF FINANCIAL STUDIES, Vol 7 No 4, 1994
Posted: 25 Oct 1999
Jerome Detemple and Mark Broadie
Boston University - Department of Finance & Economics and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract:

10.

The Valuation of American Options on Multiple Assets

Posted: 02 Oct 1999
Jerome Detemple and Mark Broadie
Boston University - Department of Finance & Economics and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract:

11.

Estimating Security Price Derivatives Using Simulation

Posted: 20 Dec 1998
Mark Broadie and Paul Glasserman
Columbia University - Columbia Business School - Decision Risk and Operations and Columbia Business School

Abstract:

12.

Connecting Discrete and Continuous Path-Dependent Options

Finance and Stochastics, Vol. 3, Iss. 1, 1999
Posted: 25 Nov 1998
Mark Broadie, Paul Glasserman and Steven Kou
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School and Risk Management Institute, NUS

Abstract:

13.

Enhanced Monte Carlo Estimates for American Option Prices

J. OF DERIVATIVES, Fall 1997
Posted: 06 Nov 1997
Mark Broadie, Paul Glasserman and Gautam Jain
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School and L.O.G. International Corp.

Abstract:

14.

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation

Posted: 14 Nov 1996
Columbia University - Columbia Business School - Decision Risk and Operations, Boston University - Department of Finance & Economics, University of North Carolina Kenan-Flagler Business School and Universite Catholique de Louvain

Abstract:

American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 4
Posted: 05 Feb 1998
Jerome Detemple and Mark Broadie
Boston University - Department of Finance & Economics and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract:

American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

Posted: 22 Aug 1994
Jerome Detemple and Mark Broadie
Boston University - Department of Finance & Economics and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract: