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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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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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Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
Persistent link: https://www.econbiz.de/10012153319