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Alan Lewis

Personal Details

First Name:Alan
Middle Name:
Last Name:Lewis
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RePEc Short-ID:ple8
[This author has chosen not to make the email address public]
http://www.financepress.com

Research output

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Jump to: Working papers Articles Chapters Books

Working papers

  1. Alan L. Lewis, 2020. "US Equity Risk Premiums during the COVID-19 Pandemic," Papers 2004.13871, arXiv.org.
  2. Alan L. Lewis, 2019. "Option-based Equity Risk Premiums," Papers 1910.14522, arXiv.org, revised Apr 2020.
  3. Alan L. Lewis, 2018. "Exact Solutions for a GBM-type Stochastic Volatility Model having a Stationary Distribution," Papers 1809.08635, arXiv.org, revised May 2019.
  4. Yiannis A. Papadopoulos & Alan L. Lewis, 2018. "A First Option Calibration of the GARCH Diffusion Model by a PDE Method," Papers 1801.06141, arXiv.org.
  5. Alan L. Lewis, 2001. "A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes," Related articles explevy, Finance Press.
  6. Kassouf, S. & Lewis, A.L., 1991. "Intertemporally Dependent Preference Orderings In An Expected Utility Setting: Golden Rule Strategies For Educational Endowments," Papers 90-91-15, California Irvine - School of Social Sciences.

Articles

  1. Alan L. Lewis, 1998. "Applications of Eigenfunction Expansions in Continuous‐Time Finance," Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 349-383, October.
  2. Lewis, Alan L & Kassouf, Sheen T & Brehm, R Dennis & Johnston, Jack, 1980. "The Ibbotson-Singuefield Simultation Made Easy," The Journal of Business, University of Chicago Press, vol. 53(2), pages 205-214, April.

Chapters

  1. Alan L. Lewis, 2000. "Introduction and Summary of Results (Excerpt)," Option Valuation under Stochastic Volatility, in: Alan L. Lewis (ed.), Option Valuation under Stochastic Volatility, chapter 1, Finance Press.
  2. Alan L. Lewis, 2000. "The Term Structure of Implied Volatility," Option Valuation under Stochastic Volatility, in: Alan L. Lewis (ed.), Option Valuation under Stochastic Volatility, chapter 6, Finance Press.
  3. Alan L. Lewis, 2000. "The Fundamental Transform (Excerpt)," Option Valuation under Stochastic Volatility, in: Alan L. Lewis (ed.), Option Valuation under Stochastic Volatility, chapter 2, Finance Press.

Books

  1. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 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-FMK: Financial Markets (2) 2019-11-04 2020-05-11
  2. NEP-RMG: Risk Management (2) 2019-11-04 2020-05-11
  3. NEP-GEN: Gender (1) 2020-05-11
  4. NEP-UPT: Utility Models and Prospect Theory (1) 2019-11-04

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