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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

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

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

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

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

Merton's portfolio problem including market frictions : a closed-form formula supporting the shadow price approach

Mariani, Francesca; Recchioni, Maria Cristina; Ciommi, … - In: European journal of operational research : EJOR 275 (2019) 3, pp. 1178-1189

Persistent link: https://www.econbiz.de/10011993680

Modelling options on football players using individual rankings and club market value : evidence from Italy

Cucculelli, Marco; Jha, Paritosh Navinchandra; Mariani, … - In: International Journal of Financial Markets and … 10 (2024) 1, pp. 47-69

Persistent link: https://www.econbiz.de/10015064461

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

Can Negative Interest Rates Really Affect Option Pricing? Empirical Evidence from an Explicitly Solvable Stochastic Volatility Model

Recchioni, Maria Cristina - 2016

The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the U.S.A. and in the EURO area. This paper investigates whether the use of models which allow for negative...

Persistent link: https://www.econbiz.de/10012998049