Details about Paolo Pianca

Access statistics for papers by Paolo Pianca.

Last updated 2013-06-24. Update your information in the RePEc Author Service.

Short-id: ppi53

Working Papers

2012

1. Extracting information on implied volatilities and discrete dividends from American options prices
   Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
2. Prospect theory: An application to European option pricing
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2010

3. Extracting Implied Dividends from Options Prices: some Applications to the Italian Derivatives Market
   Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia

2009

4. Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)
   Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia

2008

5. An efficient binomial approach to the pricing of options on stocks with cash dividends
   Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia

2007

6. Cumulative prospect theory and second order stochastic dominance criteria: an application to mutual funds performance
   Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia

2006

7. Simulation techniques for generalized Gaussian densities
   Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia View citations (1)

2005

8. Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model
   Finance, University Library of Munich, Germany View citations (7)

Journal Articles

2004

1. A two-step simulation procedure to analyze the exercise features of American options
   Decisions in Economics and Finance, 2004, 27, (1), 35-56 View citations (4)

2001

2. Option pricing bounds with standard risk aversion preferences
   European Journal of Operational Research, 2001, 134, (2), 249-260 View citations (3)

1999

3. A more informative estimation procedure for the parameters of a diffusion process
   Physica A: Statistical Mechanics and its Applications, 1999, 269, (1), 45-53

1997

4. Decreasing Absolute Risk Aversion and Option Pricing Bounds
   Management Science, 1997, 43, (2), 206-216 View citations (17)
5. On the relative efficiency of nth order and DARA stochastic dominance rules
   Applied Mathematical Finance, 1997, 4, (4), 207-222 View citations (1)