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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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An exit-probability-based approach for the valuation of defaultable securities
Caramellino, Lucia; Iovino, Maria Gabriella - In: The journal of computational finance 6 (2002) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10001704737
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The singular points binomial method for pricing American path-dependent options
Gaudenzi, Marcellino; Zanette, Antonino; Antonietta … - In: The journal of computational finance 14 (2010) 1, pp. 29-57
Persistent link: https://www.econbiz.de/10008713887
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The singular points binominal method for pricing American path-dependent options
Gaudenzi, Marcellino; Zanette, Antonino; Lepellere, … - In: The journal of computational finance 14 (2010/11) 1, pp. 29-56
Persistent link: https://www.econbiz.de/10008736753