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Parabolic ADI Methods for Pricing American Options on Two Stocks
Villeneuve, Stephane; Zanette, Antonino - In: Mathematics of operations research 27 (2002) 1, pp. 121-149
Persistent link: https://www.econbiz.de/10006418593
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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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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/10007895581
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Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
Costabile, Massimo; Gaudenzi, Marcellino; Massabò, Ivar; … - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 286-295
Persistent link: https://www.econbiz.de/10008314486
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Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
Costabile, Massimo; Gaudenzi, Marcellino; Massabò, Ivar; … - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 286-296
Persistent link: https://www.econbiz.de/10008882338