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A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied mathematical finance 16 (2009) 1, pp. 17-36
Persistent link: https://www.econbiz.de/10008211951
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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/10010100479
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A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
Ballestra, Luca Vincenzo; Pacelli, Graziella; Zirilli, … - In: Journal of banking & finance 31 (2007) 11, pp. 3420-3437
Persistent link: https://www.econbiz.de/10007869919
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A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied mathematical finance 16 (2009) 1-2, pp. 17-36
Persistent link: https://www.econbiz.de/10008311802
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The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23
Persistent link: https://www.econbiz.de/10009897420
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An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk
Ballestra, Luca Vincenzo; Ottaviani, Massimiliano; … - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 442-449
Persistent link: https://www.econbiz.de/10010011626
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The constant elasticity of variance model: calibration, test and evidence from the Italian equity market
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied financial economics 21 (2011) 20, pp. 1479-1488
Persistent link: https://www.econbiz.de/10009187426
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PAPERS - A hybrid method for pricing European options based on multiple assets with transaction costs
Pacelli, Graziella; Recchioni, Maria Cristina; Zirilli, … - In: Applied mathematical finance 6 (1999) 2, pp. 61-86
Persistent link: https://www.econbiz.de/10008218056