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An analytical study of participating policies with minimum rate guarantee and surrender option
Chiarolla, Maria B.; De Angelis, Tiziano; Stabile, Gabriele - In: Finance and stochastics 26 (2022) 2, pp. 173-216
Persistent link: https://www.econbiz.de/10013197521
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Analytical pricing of American Put options on a Zero Coupon Bond in the Heath–Jarrow–Morton model
Chiarolla, Maria B.; De Angelis, Tiziano - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 678-707
We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in Musiela’s parametrization of the Heath–Jarrow–Morton (HJM) model for forward interest rates.
Persistent link: https://www.econbiz.de/10011194135
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Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
De Angelis, Tiziano - In: Finance and stochastics 24 (2020) 1, pp. 71-123
Persistent link: https://www.econbiz.de/10012253341
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Optimal entry to an irreversible investment plan with non convex costs
De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - In: Mathematics and financial economics 11 (2017) 4, pp. 423-454
Persistent link: https://www.econbiz.de/10011900577
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On the free boundary of an annuity purchase
De Angelis, Tiziano; Stabile, Gabriele - In: Finance and stochastics 23 (2019) 1, pp. 97-137
Persistent link: https://www.econbiz.de/10012023700