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

5

DOWNLOADS
Rank 39,730

SSRN RANKINGS

Top 39,730

in Total Papers Downloads

1,055

CITATIONS
Rank 43,826

SSRN RANKINGS

Top 43,826

in Total Papers Citations

7

Scholarly Papers (5)

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 558 (47,531)
Citation 18

Abstract:

Loading...

High Frequency, Realized Volatility, Option Pricing

2.

Valuing Modularity as a Real Option

Management Science, Forthcoming, Swiss Finance Institute Research Paper No. 08-20
Number of pages: 51 Posted: 29 Jan 2008 Last Revised: 11 Mar 2014
Andrea Gamba and Nicola Fusari
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 436 (64,677)
Citation 2

Abstract:

Loading...

Real options, Modularity, Least Squares Monte Carlo

3.

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 37 (430,666)
Citation 14

Abstract:

Loading...

4.

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 24 (491,866)
Citation 24

Abstract:

Loading...

5.

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:

Loading...

barrier option, binomial tree, convergence rate, transition probability