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Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets
Fusai, Gianluca; Marena, Marina; Roncoroni, Andrea - In: Journal of banking & finance 32 (2008) 10, pp. 2033-2045
Persistent link: https://www.econbiz.de/10008099635
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Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets
Fusai, Gianluca; Marena, Marina; Roncoroni, Andrea - In: Journal of banking & finance 32 (2008) 10, pp. 2033-2046
Persistent link: https://www.econbiz.de/10008897709
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Shape factors and cross-sectional risk
Roncoroni, Andrea; Galluccio, Stefano; Guiotto, Paolo - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2320-2341
Persistent link: https://www.econbiz.de/10008705600
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Understanding the Fine Structure of Electricity Prices
Geman, Hélyette; Roncoroni, Andrea - In: The journal of business : B 79 (2006) 3, pp. 1225-1262
Persistent link: https://www.econbiz.de/10007261381
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A new measure of cross-sectional risk and its empirical implications for portfolio risk management
Galluccio, Stefano; Roncoroni, Andrea - In: Journal of banking & finance 30 (2006) 8, pp. 2387-2408
Persistent link: https://www.econbiz.de/10007286051
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Dynamic value at risk under optimal and suboptimal portfolio policies
Fusai, Gianluca; Luciano, Elisa - In: European journal of operational research : EJOR 135 (2001) 2, pp. 249-269
Persistent link: https://www.econbiz.de/10006657855
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An exact analytical solution for discrete barrier options
Fusai, Gianluca; Abrahams, I.David; Sgarra, Carlo - In: Finance and stochastics 10 (2006) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10008222879
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Analysis of quadrature methods for pricing discrete barrier options
Fusai, Gianluca; Recchioni, Maria Cristina - In: Journal of economic dynamics & control 31 (2007) 3, pp. 826-860
Persistent link: https://www.econbiz.de/10007598949
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Pricing discretely monitored Asian options under Lévy processes
Fusai, Gianluca; Meucci, Attilio - In: Journal of banking & finance 32 (2008) 10, pp. 2076-2088
Persistent link: https://www.econbiz.de/10008099631
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Pricing discretely monitored Asian options under Lévy processes
Fusai, Gianluca; Meucci, Attilio - In: Journal of banking & finance 32 (2008) 10, pp. 2076-2089
Persistent link: https://www.econbiz.de/10008897705