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Antoni Vaello-Sebastià

University of the Balearic Islands

Crtra. Valldemossa, km 7.5

Ed. Ramon Llull

Palma de Mallorca, Illles Balears 07122

Spain

  • University of the Balearic Islands

SCHOLARLY PAPERS

11

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1,309

TOTAL CITATIONS

1

Scholarly Papers (11)

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1.

Supercointegrated

Number of pages: 51 Posted: 21 Jul 2017 Last Revised: 27 Nov 2017
Isabel Figuerola-Ferretti, Pedro Serrano, Tao Tang and Antoni Vaello-Sebastià
Comillas Pontifical University, Universidad Carlos III de Madrid, Jinan University and University of the Balearic Islands
Downloads 905 (65,042)

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Supercointegrated pairs; Pairs trading; Risk-return relationship

2.

The Term Structure of the Expected Market Risk Premium, and the Cross-Section of Stock Returns

Number of pages: 61 Posted: 06 Jan 2025 Last Revised: 17 Oct 2025
Ana Gonzalez-Urteaga, Gonzalo Rubio, Pedro Serrano and Antoni Vaello-Sebastià
Public University of Navarre, Universidad CEU Cardenal Herrera, Universidad Carlos III de Madrid and University of the Balearic Islands
Downloads 191 (397,477)

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VIX, supervised PCA, priced state variables, weak factors, principal components of the term structure, mimicking portfolios, Term structure of the expected market risk premium

3.

The Impact of Heterogeneous Unconventional Monetary Policies on the Expectations of Market Crashes

Banco de Espana Working Paper No. 2127
Number of pages: 77 Posted: 25 Aug 2021
Irma Alonso Alvarez, Pedro Serrano and Antoni Vaello-Sebastià
Bank of Spain, Universidad Carlos III de Madrid and University of the Balearic Islands
Downloads 91 (736,406)
Citation 1

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unconventional monetary policy, risk-neutral density, tail risk, event study, SVAR

4.

Can We Really Discard the Forecasting Ability of Risk-Neutral Distributions?

Number of pages: 42 Posted: 20 Nov 2017
Antoni Vaello-Sebastià and M. Magdalena Vich-Llompart
University of the Balearic Islands and University of the Balearic Islands
Downloads 80 (803,225)

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Risk-Neutral Density; Options; Log-Normal Mixtures; Splines

5.

The International Linkages of Market Risk Perception

Number of pages: 30 Posted: 11 Jul 2023
Antoni Vaello-Sebastià, Pedro Serrano and M. Magdalena Vich-Llompart
University of the Balearic Islands, Universidad Carlos III de Madrid and Washington College
Downloads 42 (1,157,785)

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Arrow-Debreu prices, options, integration, risk aversion, uncertainty

6.

The Impact of Heterogeneous Unconventional Monetary Policies on the Expectation of Market Crashes

Posted: 29 May 2020 Last Revised: 29 May 2024
Irma Alonso Alvarez, Pedro Serrano and Antoni Vaello-Sebastià
Bank of Spain, Universidad Carlos III de Madrid and University of the Balearic Islands
Downloads 0 (1,596,965)

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unconventional monetary policy, risk-neutral density, tail risk, event study, SVAR

7.

Does Stock Return Predictability Affect ESO Fair Value?

European Journal of Operational Research, vol. 223
Posted: 30 Jun 2017
Julio Carmona, Angel Leon and Antoni Vaello-Sebastià
Independent, Universidad de Alicante and University of the Balearic Islands

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Executive Stock Options, Risk Aversion, Undiversification, Predictability, FAS123R

8.

Pricing Executive Stock Options Under Employment Shocks

Journal of Economic Dynamics and Control, Vol. 35, No. 1, 2011
Posted: 30 Jun 2017
Julio Carmona, Angel Leon and Antoni Vaello-Sebastià
Independent, Universidad de Alicante and University of the Balearic Islands

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Executive stock options, Risk aversion, Undiversification, Incentives, FAS123R

9.

Market Valuation of Employee Stock Options: The Spanish Case

Spanish Review of Financial Economics, vol. 21
Posted: 30 Jun 2017
Raul Iniguez Sánchez, Antoni Vaello-Sebastià and Pablo J. Vazquez Veira
Universidad de Alicante-Dpto. Economía Financiera, University of the Balearic Islands and University of Alicante - Finance & Accounting

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Employee Stock Options, Market Valuation, binomial trees

10.

A Simulation-Based Algorithm for American Executive Stock Option Valuation

Finance Research Letters, Vol. 7, No. 1, 2010
Posted: 30 Jun 2017
Angel Leon and Antoni Vaello-Sebastià
Universidad de Alicante and University of the Balearic Islands

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Executive stock options, Monte Carlo, Risk aversion, Fair value, Indexed strike

11.

American GARCH Employee Stock Options Valuation

Journal of Banking and Finance, Vol. 33, No. 6, 2009
Posted: 30 Jun 2017
Angel Leon and Antoni Vaello-Sebastià
Universidad de Alicante and University of the Balearic Islands

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Employee Stock Options, GARCH, Least Squares Monte Carlo, Fair Value

Other Papers (2)

Total Downloads: 101
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1.

Valuing Employee Stock Options Through Simulations

Number of pages: 28 Posted: 04 Mar 2007
Angel Leon and Antoni Vaello-Sebastià
Universidad de Alicante and University of the Balearic Islands
Downloads 71

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employee stock options, simulations, volatility

2.

American GARCH Employee Stock Option Valuation

EFA 2008 Athens Meetings
Number of pages: 42 Posted: 26 Feb 2008
Angel Leon and Antoni Vaello-Sebastià
affiliation not provided to SSRN and University of the Balearic Islands
Downloads 30

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Employee Stock Option, GARCH, Least-Squares Monte Carlo, fair value, FAS 123