Angel Leon

Universidad de Alicante

Campus de San Vicente

Carretera San Vicente del Raspeig

San Vicente del Raspeig, 03690

Spain

SCHOLARLY PAPERS

9

DOWNLOADS

457

CITATIONS
Rank 47,749

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Top 47,749

in Total Papers Citations

6

Scholarly Papers (9)

1.

New Measures of Monetary Policy Surprises and Jumps in Interest Rates

Journal of Banking and Finance, Forthcoming
Number of pages: 48 Posted: 13 Apr 2011 Last Revised: 15 May 2012
Szabolcs Sebestyén and Angel Leon
Instituto Universitário de Lisboa (ISCTE-IUL), Business Research Unit (BRU-IUL) and Universidad de Alicante
Downloads 129 (218,008)
Citation 3

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monetary policy, jumps, interest rates, principal components

Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation

Banco de España Research Paper No. WP-0707
Number of pages: 60 Posted: 29 Mar 2007
Angel Leon, Javier Mencia and Enrique Sentana
Universidad de Alicante, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 105 (254,894)
Citation 3

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kurtosis, density expansions, gram-charlier, skewness, s&p index options

Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation

CEPR Discussion Paper No. 5435
Number of pages: 52 Posted: 17 Apr 2006
Javier Mencia, Enrique Sentana and Angel Leon
Banco de España, Centro de Estudios Monetarios y Financieros (CEMFI) and Universidad de Alicante
Downloads 20 (532,753)
Citation 11
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Kurtosis, density expansions, Gram-Charlier, skewness, S&P index options

3.

Screening Rules and Portfolio Performance

Number of pages: 42 Posted: 06 Mar 2018 Last Revised: 03 Jun 2018
Angel Leon, Lluis Navarro and Belen Nieto
Universidad de Alicante, CaixaBank and University of Alicante
Downloads 105 (253,387)

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Performance Measure, Ranking, Stochastic Dominance, Skewness

4.

One-Sided Performance Measures Under Gram-Charlier Distributions

Number of pages: 33 Posted: 21 Mar 2016
Angel Leon and Manuel Moreno
Universidad de Alicante and University of Castilla-La Mancha
Downloads 77 (308,233)
Citation 2

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Lower/Upper partial moment, Certainty Equivalent, Rank correlation, SNP distribution.

5.

Time-Varying Semi-Nonparametric Distribution and Portfolio Performance

Number of pages: 37 Posted: 14 Aug 2018
Angel Leon and Trino Manuel Ñíguez
Universidad de Alicante and Westminster Business School, University of Westminster
Downloads 21 (509,480)

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investment analysis, conditional higher-order moment, copula, equity screening, expected shortfall

6.

Does Stock Return Predictability Affect ESO Fair Value?

European Journal of Operational Research, vol. 223
Posted: 30 Jun 2017
Independent, Universidad de Alicante and University of the Balearic Islands

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

7.

Pricing Executive Stock Options Under Employment Shocks

Journal of Economic Dynamics and Control, Vol. 35, No. 1, 2011
Posted: 30 Jun 2017
Independent, Universidad de Alicante and University of the Balearic Islands

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

8.

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

9.

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 (1)

Total Downloads: 0
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 0

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employee stock options, simulations, volatility