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Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 217-248
Persistent link: https://www.econbiz.de/10011993464
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Pricing cliquet options by tree methods
Gaudenzi, Marcellino; Zanette, Antonino - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 125-135
Persistent link: https://www.econbiz.de/10008992059
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Fast binomial procedures for pricing Parisian/ParAsian options
Gaudenzi, Marcellino; Zanette, Antonino - In: Computational Management Science : CMS 14 (2017) 3, pp. 313-331
Persistent link: https://www.econbiz.de/10011710827