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Fourier-Cosine method for pricing and hedging insurance derivatives
Goudenège, Ludovic; Molent, Andrea; Wei, Xiao; … - In: Theoretical economics letters 8 (2018) 3, pp. 282-291
Persistent link: https://www.econbiz.de/10011822600
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Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Quantitative finance 20 (2020) 4, pp. 573-591
Persistent link: https://www.econbiz.de/10012194908
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Moving average options : machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: European journal of operational research : EJOR 303 (2022) 2, pp. 958-974
Persistent link: https://www.econbiz.de/10013364051
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Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonio - In: Insurance / Mathematics & economics 70 (2016), pp. 38-57
Persistent link: https://www.econbiz.de/10011597137
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Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 217-248
Persistent link: https://www.econbiz.de/10011993464
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Taxation of a GMWB variable annuity in a stochastic interest rate model
Molent, Andrea - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1001-1035
Persistent link: https://www.econbiz.de/10012307397
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Pricing American barrier options with discrete dividends by binomial trees
Gaudenzi, Marcellino; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 32 (2009) 2, pp. 129-148
Persistent link: https://www.econbiz.de/10003893186
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Pricing cliquet options by tree methods
Gaudenzi, Marcellino; Zanette, Antonino - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 125-135
Persistent link: https://www.econbiz.de/10008992059
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The singular points binominal method for pricing American path-dependent options
Gaudenzi, Marcellino; Zanette, Antonino; Lepellere, … - In: The journal of computational finance 14 (2010/11) 1, pp. 29-56
Persistent link: https://www.econbiz.de/10008736753
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Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
Costabile, Massimo; Gaudenzi, Marcellino; Massabo, Ivar; … - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 286-295
Persistent link: https://www.econbiz.de/10009517565