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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
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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
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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
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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
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A shifted tree model for the efficient evaluation of options with fixed dividends
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: IMA journal of management mathematics 29 (2018) 1, pp. 39-51
Persistent link: https://www.econbiz.de/10011858934
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A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
De Angelis, Paolo; De Marchis, Roberto; Martire, Antonio L. - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 415-446
Persistent link: https://www.econbiz.de/10013380577