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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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Adaptive finite element methods for local volatility European option pricing
Ern, Alexandre; Villeneuve, Stéphane; Zanette, Antonino - In: International journal of theoretical and applied finance 7 (2004) 6, pp. 659-684
Persistent link: https://www.econbiz.de/10002200623
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A moments and strike matching binominal algorithm for pricing American put options
Jourdain, Benjamin; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10003771585
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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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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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The binomial interpolated lattice method for step double barrier options
Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-26
Persistent link: https://www.econbiz.de/10010438537
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A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model
Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino - In: IMA journal of management mathematics 26 (2015) 4, pp. 377-401
Persistent link: https://www.econbiz.de/10011515669
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A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
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Fast binomial procedures for pricing Parisian/ParAsian options
Gaudenzi, Marcellino; Zanette, Antonino - In: Computational Management Science : CMS 14 (2017) 3, pp. 313-331
Persistent link: https://www.econbiz.de/10011710827