A
Anthony Neuberger
Researcher at City University London
Publications - 46
Citations - 2565
Anthony Neuberger is an academic researcher from City University London. The author has contributed to research in topics: Hedge (finance) & Pension. The author has an hindex of 16, co-authored 45 publications receiving 2414 citations. Previous affiliations of Anthony Neuberger include University of London & University of Warwick.
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Option Prices, Implied Price Processes, and Stochastic Volatility
TL;DR: The authors characterizes all continuous price processes that are consistent with current option prices and shows how arbitrary volatility processes can be adjusted to fit current option price exactly, just as interest rate processes can also be adjusted exactly to fit bond prices exactly.
Journal ArticleDOI
Robust bounds for forward start options
David Hobson,Anthony Neuberger +1 more
TL;DR: In this article, the authors consider the problem of finding a model-free uper bound on the price of a forward-start straddle with payoff |FT2 −FT1 |.
Journal ArticleDOI
The Skew Risk Premium in the Equity Index Market
TL;DR: In this paper, the authors measure the skew risk premium in the equity index market through the skew swap, and they find that almost half of the implied volatility skew can be explained by the skewed risk premium.
Posted Content
Trade disclosure regulation in markets with negotiated trades
TL;DR: In this article, the authors examine whether full and prompt disclosure of public-trade details improves the welfare of a risk-averse investor, and they show that if the market maker learns some information about the motive behind public trade, neither regime is unambiguously welfare superior.