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Pricing commodity index options
Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
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Smile modeling in commodity markets
Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012271006
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A fast Monte Carlo scheme for additive processes and option pricing
Azzone, Michele; Baviera, Roberto - In: Computational management science 20 (2023) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10014393374
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Additive normal tempered stable processes for equity derivatives and power-law scaling
Azzone, Michele; Baviera, Roberto - In: Quantitative finance 22 (2022) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10013167773