Details about Alan Lewis
Access statistics for papers by Alan Lewis.
Last updated 2025-03-15. Update your information in the RePEc Author Service.
Short-id: ple8
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Working Papers
2021
- Proof of non-convergence of the short-maturity expansion for the SABR model
Papers, arXiv.org 
See also Journal Article Proof of non-convergence of the short-maturity expansion for the SABR model, Quantitative Finance, Taylor & Francis Journals (2022) View citations (1) (2022)
2020
- Option-based Equity Risk Premiums
Papers, arXiv.org
- US Equity Risk Premiums during the COVID-19 Pandemic
Papers, arXiv.org View citations (1)
2019
- Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution
Papers, arXiv.org View citations (4)
2018
- A First Option Calibration of the GARCH Diffusion Model by a PDE Method
Papers, arXiv.org View citations (1)
2001
- A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes
Related articles, Finance Press View citations (82)
1991
- INTERTEMPORALLY DEPENDENT PREFERENCE ORDERINGS IN AN EXPECTED UTILITY SETTING: GOLDEN RULE STRATEGIES FOR EDUCATIONAL ENDOWMENTS
Working Papers, California Irvine - School of Social Sciences
Journal Articles
2022
- Proof of non-convergence of the short-maturity expansion for the SABR model
Quantitative Finance, 2022, 22, (9), 1747-1757 View citations (1)
See also Working Paper Proof of non-convergence of the short-maturity expansion for the SABR model, Papers (2021) (2021)
1998
- Applications of Eigenfunction Expansions in Continuous‐Time Finance
Mathematical Finance, 1998, 8, (4), 349-383 View citations (15)
1980
- The Ibbotson-Singuefield Simultation Made Easy
The Journal of Business, 1980, 53, (2), 205-14 View citations (1)
Books
2000
- Option Valuation under Stochastic Volatility
Option Valuation under Stochastic Volatility, Finance Press View citations (307)
Chapters
2000
- Introduction and Summary of Results (Excerpt)
Chapter 1 in Option Valuation under Stochastic Volatility, 2000
- The Fundamental Transform (Excerpt)
Chapter 2 in Option Valuation under Stochastic Volatility, 2000
- The Term Structure of Implied Volatility
Chapter 6 in Option Valuation under Stochastic Volatility, 2000
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