Paolo Pianca

Personal Details

First Name:	Paolo
Middle Name:
Last Name:	Pianca
Suffix:
RePEc Short-ID:	ppi53
	[This author has chosen not to make the email address public]
	http://caronte.dma.unive.it/~pianca/
	DORSODURO 3825 e 30123 VENICE (ITALY)
	+390412346915

Affiliation

Dipartimento di Economia
Università Ca' Foscari Venezia

Venezia, Italy
http://www.unive.it/dip.economia
RePEc:edi:dsvenit (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Martina Nardon & Paolo Pianca, 2012. "Extracting information on implied volatilities and discrete dividends from American options prices," Working Papers 2012_25, Department of Economics, University of Venice "Ca' Foscari".

   Cited by:

   1. Shuaiqiang Liu & 'Alvaro Leitao & Anastasia Borovykh & Cornelis W. Oosterlee, 2020. "On Calibration Neural Networks for extracting implied information from American options," Papers 2001.11786, arXiv.org.

2. Martina Nardon & Paolo Pianca, 2006. "Simulation techniques for generalized Gaussian densities," Working Papers 145, Department of Applied Mathematics, Università Ca' Foscari Venezia.

   Cited by:

   1. Sebastiano Michele Zema, 2020. "Directed Acyclic Graph based Information Shares for Price Discovery," LEM Papers Series 2020/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

3. paolo pianca, 2005. "Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model," Finance 0511005, University Library of Munich, Germany.

   Cited by:

   1. Roger Cooke & Alexander Golub, 2020. "Market-based methods for monetizing uncertainty reduction," Environment Systems and Decisions, Springer, vol. 40(1), pages 3-13, March.
   2. Michael R. Tehranchi, 2015. "Uniform bounds for Black--Scholes implied volatility," Papers 1512.06812, arXiv.org, revised Aug 2016.
   3. Ahmadian, D. & Farkhondeh Rouz, O. & Ivaz, K. & Safdari-Vaighani, A., 2020. "Robust numerical algorithm to the European option with illiquid markets," Applied Mathematics and Computation, Elsevier, vol. 366(C).
   4. Dan Stefanica & Radoš Radoičić, 2017. "An Explicit Implied Volatility Formula," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-32, November.
   5. Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2018. "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents," Papers 1810.04623, arXiv.org.
      • Michele Mininni & Giuseppe Orlando & Giovanni Taglialatela, 2021. "Challenges in approximating the Black and Scholes call formula with hyperbolic tangents," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 73-100, June.
   6. Dan Stefanica & Radoš Radoičić, 2016. "A sharp approximation for ATM-forward option prices and implied volatilites," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-24, March.

Articles

1. Antonella Basso & Martina Nardon & Paolo Pianca, 2004. "A two-step simulation procedure to analyze the exercise features of American options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(1), pages 35-56, August.

   Cited by:

   1. Martina Nardon & Paolo Pianca, 2008. "An efficient binomial approach to the pricing of options on stocks with cash dividends," Working Papers 178, Department of Applied Mathematics, Università Ca' Foscari Venezia.
   2. Qianru Shang & Brian Byrne, 2021. "American option pricing: Optimal Lattice models and multidimensional efficiency tests," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 514-535, April.
   3. Martina Nardon & Paolo Pianca, 2012. "Extracting information on implied volatilities and discrete dividends from American options prices," Working Papers 2012_25, Department of Economics, University of Venice "Ca' Foscari".
   4. Yi-Ping Chang & Ming-Chin Hung & Yi-Chen Ko, 2011. "A multinomial tree model for pricing credit default swap options," Computational Statistics, Springer, vol. 26(1), pages 95-120, March.

2. Basso, A. & Pianca, P., 2001. "Option pricing bounds with standard risk aversion preferences," European Journal of Operational Research, Elsevier, vol. 134(2), pages 249-260, October.

   Cited by:

   1. Marroquı´n-Martı´nez, Naroa & Moreno, Manuel, 2013. "Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?," European Journal of Operational Research, Elsevier, vol. 225(3), pages 429-442.
   2. Unyong Pyo, 2011. "Minimax price bounds in incomplete markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 274-295, July.

3. Antonella Basso & Paolo Pianca, 1997. "On the relative efficiency of nth order and DARA stochastic dominance rules," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 207-222.

   Cited by:

   1. Basso, Antonella & Funari, Stefania, 2001. "A data envelopment analysis approach to measure the mutual fund performance," European Journal of Operational Research, Elsevier, vol. 135(3), pages 477-492, December.

4. Antonella Basso & Paolo Pianca, 1997. "Decreasing Absolute Risk Aversion and Option Pricing Bounds," Management Science, INFORMS, vol. 43(2), pages 206-216, February.

   Cited by:

   1. Thierry Post & Yi Fang & Miloš Kopa, 2015. "Linear Tests for Decreasing Absolute Risk Aversion Stochastic Dominance," Management Science, INFORMS, vol. 61(7), pages 1615-1629, July.
   2. Chung, San-Lin & Wang, Yaw-Huei, 2008. "Bounds and prices of currency cross-rate options," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 631-642, May.
   3. Jun-ya Gotoh & Yoshitsugu Yamamoto & Weifeng Yao, 2011. "Bounding Contingent Claim Prices via Hedging Strategy with Coherent Risk Measures," Journal of Optimization Theory and Applications, Springer, vol. 151(3), pages 613-632, December.
   4. Thierry Post & Valerio Potì, 2017. "Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood," Management Science, INFORMS, vol. 63(1), pages 153-165, January.
   5. Fang, Yi & Post, Thierry, 2017. "Higher-degree stochastic dominance optimality and efficiency," European Journal of Operational Research, Elsevier, vol. 261(3), pages 984-993.
   6. Thierry Post & Milos Kopa, 2015. "Portfolio Choice based on Third-degree Stochastic Dominance, With an Application to Industry Momentum," Koç University-TUSIAD Economic Research Forum Working Papers 1527, Koc University-TUSIAD Economic Research Forum.
   7. Courtois, Olivier Le & Xu, Xia, 2023. "Semivariance below the maximum: Assessing the performance of economic and financial prospects," Journal of Economic Behavior & Organization, Elsevier, vol. 209(C), pages 185-199.
   8. Thierry Post & Miloš Kopa, 2017. "Portfolio Choice Based on Third-Degree Stochastic Dominance," Management Science, INFORMS, vol. 63(10), pages 3381-3392, October.
   9. Tobias Huber & Johannes G. Jaspersen & Andreas Richter & Dennis Strümpel, 2023. "On the change of risk aversion in wealth: a field experiment in a closed economic system," Experimental Economics, Springer;Economic Science Association, vol. 26(1), pages 1-26, March.
   10. Kamlesh Mathur & Peter Ritchken, 1999. "Minimum option prices under decreasing absolute risk aversion," Review of Derivatives Research, Springer, vol. 3(2), pages 135-156, May.
   11. Post, Thierry, 2016. "Standard Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 248(3), pages 1009-1020.
   12. Basso, A. & Pianca, P., 2001. "Option pricing bounds with standard risk aversion preferences," European Journal of Operational Research, Elsevier, vol. 134(2), pages 249-260, October.
   13. Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2012. "Non-parametric method for European option bounds," Review of Quantitative Finance and Accounting, Springer, vol. 38(1), pages 109-129, January.
   14. Antonella Basso & Paolo Pianca, 1997. "On the relative efficiency of nth order and DARA stochastic dominance rules," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 207-222.
   15. Jun-ya Gotoh & Hiroshi Konno, 2002. "Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm," Management Science, INFORMS, vol. 48(5), pages 665-678, May.
   16. Basso, A. & Pianca, P., 1999. "A more informative estimation procedure for the parameters of a diffusion process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 45-53.
   17. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-UPT: Utility Models and Prospect Theory (2) 2007-11-24 2013-01-07
2. NEP-CBE: Cognitive and Behavioural Economics (1) 2007-11-24
3. NEP-CFN: Corporate Finance (1) 2008-12-01
4. NEP-CMP: Computational Economics (1) 2010-09-18
5. NEP-ECM: Econometrics (1) 2006-11-25
6. NEP-FIN: Finance (1) 2005-11-19

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