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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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2
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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3
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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4
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
Saved in:
5
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
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