Carol Alexander

Available identifiers

Publication	Date of Publication	Type
Crypto quanto and inverse options	2024-01-31	Paper
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	2023-06-20	Paper
Delta hedging bitcoin options with a smile	2023-06-20	Paper
The Role of Binance in Bitcoin Volatility Transmission	2023-02-28	Paper
Hedging with automatic liquidation and leverage selection on bitcoin futures	2022-12-19	Paper
The continuous limit of weak GARCH	2022-03-04	Paper
Targeting Kollo skewness with random orthogonal matrix simulation	2022-02-23	Paper
Model risk in real option valuation	2021-11-08	Paper
A general property for time aggregation	2021-06-07	Paper
Bivariate normal mixture spread option valuation	2019-01-15	Paper
Arithmetic variance swaps	2018-11-19	Paper
A parsimonious parametric model for generating margin requirements for futures	2018-10-30	Paper
ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING	2013-05-14	Paper
Further properties of random orthogonal matrix simulation	2013-03-13	Paper
Generalized beta-generated distributions	2012-07-16	Paper
Closed Form Approximations for Spread Options	2012-06-08	Paper
Random orthogonal matrix simulation	2011-03-04	Paper
Model-free price hedge ratios for homogeneous claims on tradable assets	2007-12-19	Paper
PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY	2006-08-14	Paper
The Kalai-Smorodinsky Bargaining Solution in Wage Negotiations	1993-01-16	Paper

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