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Pricing American barrier options with discrete dividends by binomial trees

Gaudenzi, Marcellino; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 32 (2009) 2, pp. 129-148

Persistent link: https://www.econbiz.de/10003893186

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

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

The binomial interpolated lattice method for step double barrier options

Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-26

Persistent link: https://www.econbiz.de/10010438537

New insights on testing the efficiency of methods of pricing and hedging American options

Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino - In: European journal of operational research : EJOR 185 (2008) 1, pp. 235-254

Persistent link: https://www.econbiz.de/10003768761

Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ model

Xiao, Wei; Gaudenzi, Marcellino; Zanette, Antonino - In: North American actuarial journal 17 (2013) 3, pp. 229-252

Persistent link: https://www.econbiz.de/10011338513

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

The dynamics of the S&P 500 under a crisis context: Insights from a three-regime switching model

Cerboni Baiardi, Lorenzo; Costabile, Massimo; de … - In: Risks 8 (2020) 3, pp. 1-15

This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...

Persistent link: https://www.econbiz.de/10013200604

A binomial model for pricing US-style average options with reset features

Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: International journal of financial markets and derivatives 1 (2010) 3, pp. 258-273

Persistent link: https://www.econbiz.de/10008665670

A mulistage stochastic programming approach for capital budgeting problems under uncertainty

Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; … - In: IMA journal of management mathematics 24 (2013) 1, pp. 89-110

Persistent link: https://www.econbiz.de/10009716279