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Option pricing theory
Optionspreistheorie
14
Stochastic process
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Stochastischer Prozess
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Volatility
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Volatilität
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Optionsgeschäft
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market risk
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Option pricing
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Russo, Emilio
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Costabile, Massimo
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Massabo, Ivar
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Staino, Alessandro
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Leccadito, Arturo
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Martire, Antonio L.
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The journal of derivatives : the official publication of the International Association of Financial Engineers
3
Decisions in economics and finance : a journal of applied mathematics
2
International journal of financial markets and derivatives
2
Review of quantitative finance and accounting
2
ASTIN bulletin : the journal of the International Actuarial Association
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IMA journal of management mathematics
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ECONIS (ZBW)
14
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1
A binomial model for pricing US-style average options with reset features
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
International journal of financial markets and derivatives
1
(
2010
)
3
,
pp. 258-273
Persistent link: https://www.econbiz.de/10008665670
Saved in:
2
A forward shooting grid method for option pricing with stochastic volatility
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
The journal of derivatives : the official publication …
20
(
2012
)
2
,
pp. 67-78
Persistent link: https://www.econbiz.de/10009718105
Saved in:
3
A reduced lattice model for option pricing under regime-switching
Costabile, Massimo
;
Leccadito, Arturo
;
Massabo, Ivar
; …
- In:
Review of quantitative finance and accounting
42
(
2014
)
4
,
pp. 667-690
Persistent link: https://www.econbiz.de/10010433525
Saved in:
4
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
Saved in:
5
A binomial approximation for two-state Markovian HJM models
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 37-65
Persistent link: https://www.econbiz.de/10009272493
Saved in:
6
An adjusted binomial model for pricing Asian options
Costabile, Massimo
;
Massabó, Ivar
;
Russo, Emilio
- In:
Review of quantitative finance and accounting
27
(
2006
)
3
,
pp. 285-296
Persistent link: https://www.econbiz.de/10003374247
Saved in:
7
A flexible lattice model for pricing contingent claims under multiple risk factors
Russo, Emilio
;
Staino, Alessandro
- In:
The journal of derivatives : the official publication …
26
(
2018
)
1
,
pp. 27-44
Persistent link: https://www.econbiz.de/10011968670
Saved in:
8
A lattice-based model for evaluating bonds and interest-sensitive claims under stochastic volatility
Russo, Emilio
;
Staino, Alessandro
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011892605
Saved in:
9
On pricing Asian options under stochastic volatility
Russo, Emilio
;
Staino, Alessandro
- In:
The journal of derivatives : the official publication …
23
(
2016
)
4
,
pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
Saved in:
10
Compound option pricing under stochastic volatility
Leccadito, Arturo
;
Russo, Emilio
- In:
International journal of financial markets and derivatives
5
(
2016
)
2/4
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011742310
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