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A binomial approximation for two-state Markovian HJM models
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: Review of derivatives research 14 (2011) 1, pp. 37-65
Persistent link: https://www.econbiz.de/10009272493
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A flexible lattice model for pricing contingent claims under multiple risk factors
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 26 (2018) 1, pp. 27-44
Persistent link: https://www.econbiz.de/10011968670
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A lattice-based model for evaluating bonds and interest-sensitive claims under stochastic volatility
Russo, Emilio; Staino, Alessandro - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10011892605
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A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
De Angelis, Paolo; De Marchis, Roberto; Martire, Antonio L. - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 415-446
Persistent link: https://www.econbiz.de/10013380577
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Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
Costabile, Massimo - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 597-600
Persistent link: https://www.econbiz.de/10010227933