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Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational management science 17 (2020) 2, pp. 163-178
Persistent link: https://www.econbiz.de/10012272056
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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 mixed PDE-Monte Carlo approcha for pricing credit default index swaptions
Bally, Vlad; Caramellino, Lucia; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 29 (2006) 2, pp. 121-137
Persistent link: https://www.econbiz.de/10003835675
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319