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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/10003768761
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Pricing and hedging American barrier options by a modified binomial method
Gaudenzi, Marcellino; Lepellere, Maria Antonietta - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 533-553
Persistent link: https://www.econbiz.de/10003347387
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A moments and strike matching binomial algorithm for pricing American Put options
Jourdain, Benjamin; Zanette, Antonino - In: Decisions in Economics and Finance 31 (2008) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10005396193
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Monte Carlo methods for pricing and hedging American options in high dimension
Caramellino, Lucia; Zanette, Antonino - In: Risk and decision analysis 2 (2010/11) 4, pp. 207-220
Persistent link: https://www.econbiz.de/10009537820
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A moments and strike matching binominal algorithm for pricing American put options
Jourdain, Benjamin; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10003771585
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Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 217-248
Persistent link: https://www.econbiz.de/10011993464
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Fourier-Cosine method for pricing and hedging insurance derivatives
Goudenège, Ludovic; Molent, Andrea; Wei, Xiao; … - In: Theoretical economics letters 8 (2018) 3, pp. 282-291
Persistent link: https://www.econbiz.de/10011822600