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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
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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
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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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Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility
Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753
Persistent link: https://www.econbiz.de/10012132469
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Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder's withdrawals
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: The European journal of finance 26 (2020) 2/3, pp. 238-257
Persistent link: https://www.econbiz.de/10012207205
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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
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Fair valuations of insurance policies under multiple risk factors : a flexible lattice approach
Devolder, Pierre; Russo, Emilio; Staino, Alessandro - In: ASTIN bulletin : the journal of the International … 54 (2024) 2, pp. 385-409
Persistent link: https://www.econbiz.de/10015055294