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~person:"Ballestra, Luca Vincenzo"
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Ballestra, Luca Vincenzo
Schmidt, Ulrich
14
Richter, Wolfram F.
12
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7
Koessler, Frédéric
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Laclau, Marie
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Pricing credit default swaps under multifactor reduced-form models : a differential quadrature approach
Andreoli, Alessandro
;
Ballestra, Luca Vincenzo
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 379-406
Persistent link: https://www.econbiz.de/10011963685
Saved in:
2
Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach
Ballestra, Luca Vincenzo
;
Pacelli, Graziella
- In:
Journal of Economic Dynamics and Control
37
(
2013
)
6
,
pp. 1142-1167
operator
splitting
scheme, a new RBF method is developed in which the inversion of large system matrices is avoided. The method …
Persistent link: https://www.econbiz.de/10010871037
Saved in:
3
Pricing European and American options with two stochastic factors : a highly efficient radial basis function approach
Ballestra, Luca Vincenzo
;
Pacelli, Graziella
- In:
Journal of economic dynamics & control
37
(
2013
)
6
,
pp. 1142-1167
Persistent link: https://www.econbiz.de/10009740447
Saved in:
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