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A hybrid method for pricing European options based on multiple assets with transaction costs

Pacelli, Graziella; Recchioni, Maria Cristina; Zirilli, … - In: Applied mathematical finance 6 (1999) 2, pp. 61-85

Persistent link: https://www.econbiz.de/10001449240

A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model

Ballestra, Luca Vincenzo; Pacelli, Graziella; Zirilli, … - In: Journal of banking & finance 31 (2007) 11, pp. 3420-3437

Persistent link: https://www.econbiz.de/10003577417

Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory

Mariani, Francesca; Pacelli, Graziella; Zirilli, Francesco - In: Optimization letters 2 (2008) 2, pp. 177-222

Persistent link: https://www.econbiz.de/10003687162

An explicitly solvable multi-scale stochastic volatility model : option pricing and calibration problems

Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: The journal of futures markets 29 (2009) 9, pp. 862-893

Persistent link: https://www.econbiz.de/10003900928

Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration

Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: Journal of mathematical finance 3 (2013) 1, pp. 10-32

Persistent link: https://www.econbiz.de/10010240231

The analysis of real data using a multiscale stochastic volatility model

Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: European financial management : the journal of the … 19 (2013) 1, pp. 153-179

Persistent link: https://www.econbiz.de/10009706264

A pertubative formula to price barrier options with time-dependent parameters in the black and scholes world

Fatone, Lorella; Recchioni, Maria Cristina; Zirilli, … - In: Journal of risk 10 (2007/08) 2, pp. 131-146

Persistent link: https://www.econbiz.de/10003643672

Calibration in the "real world" of a partially specified stochastic volatility model

Fatone, Lorella; Mariani, Francesca; Zirilli, Francesco - In: The journal of futures markets 44 (2024) 1, pp. 75-102

Persistent link: https://www.econbiz.de/10014475426

Pricing Double-Barrier Options Using the Boundary Element Method

Pacelli, Graziella - 2009

A numerical method to price double-barrier options with moving barriers is proposed. Using the so-called Boundary Element Method, an integral representation of the double-barrier option price is derived in which two of the integrand functions are not given explicitly but must be obtained solving...

Persistent link: https://www.econbiz.de/10013155361

A Very Fast and Accurate Boundary Element Method for Options with Moving Barrier and Time-Dependent Rebate

Ballestra, Luca Vincenzo - 2014

A numerical method to price options with moving barrier and time-dependent rebate is proposed. In particular, using the so-called Boundary Element Method, an integral representation of the barrier option price is derived in which one of the integrand function is not given explicitly but must be...

Persistent link: https://www.econbiz.de/10013070675