Nicola Fusari

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

Northwestern University - Kellogg School of Management

2001 Sheridan Road

Evanston, IL 60208

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 36,306

SSRN RANKINGS

Top 36,306

in Total Papers Downloads

1,266

SSRN CITATIONS
Rank 19,624

SSRN RANKINGS

Top 19,624

in Total Papers Citations

13

CROSSREF CITATIONS

29

Scholarly Papers (6)

1.

Realizing Smiles: Options Pricing with Realized Volatility

Swiss Finance Institute Research Paper No. 10-05
Number of pages: 52 Posted: 03 Feb 2010 Last Revised: 22 Nov 2011
Fulvio Corsi, Nicola Fusari and Davide La Vecchia
University of Pisa - Department of Economics, Johns Hopkins University - Carey Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 566 (49,412)
Citation 13

Abstract:

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High Frequency, Realized Volatility, Option Pricing

2.

Valuing Modularity as a Real Option

Management Science, Forthcoming, Swiss Finance Institute Research Paper No. 08-20, WBS Finance Group Research Paper No. 86
Number of pages: 51 Posted: 29 Jan 2008 Last Revised: 23 Dec 2019
Andrea Gamba and Nicola Fusari
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 440 (67,559)
Citation 1

Abstract:

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Real options, Modularity, Least Squares Monte Carlo

3.

The Impact of Misalignment of Beliefs on the Estimation of the Pricing Kernel

Swiss Finance Institute Research Paper No. 15-66
Number of pages: 41 Posted: 23 Jan 2016 Last Revised: 12 Aug 2019
University of Lugano, Johns Hopkins University - Carey Business School, ESADE Business School and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 189 (166,165)
Citation 1

Abstract:

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Conditional Physical Measure, Pricing Kernel, Option Data, S&P 500

4.

The Pricing of Short-Term Market Risk: Evidence from Weekly Options

NBER Working Paper No. w21491
Number of pages: 54 Posted: 25 Aug 2015
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 45 (420,698)

Abstract:

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5.

Parametric Inference and Dynamic State Recovery from Option Panels

NBER Working Paper No. w18046
Number of pages: 50 Posted: 04 May 2012
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 26 (506,065)
Citation 2

Abstract:

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6.

Barrier Option Pricing Using Adjusted Transition Probabilities

https://doi.org/10.3905/JOD.2008.16.2.036, Swiss Finance Institute Research Paper No. 07-02
Posted: 22 Feb 2007
Giovanni Barone-Adesi, Nicola Fusari and John Theal
University of Lugano, Johns Hopkins University - Carey Business School and Banque Centrale du Luxembourg

Abstract:

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barrier option, binomial tree, convergence rate, transition probability