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Option pricing theory
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Costabile, Massimo
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3
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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ECONIS (ZBW)
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Pricing ratchet equity-indexed annuities with early surrender risk in a CIR++ model
Xiao, Wei
;
Gaudenzi, Marcellino
;
Zanette, Antonino
- In:
North American actuarial journal
17
(
2013
)
3
,
pp. 229-252
Persistent link: https://www.econbiz.de/10011338513
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2
A mulistage stochastic programming approach for capital budgeting problems under uncertainty
Beraldi, Patrizia
;
Violi, Antonio
;
De Simone, Francesco
; …
- In:
IMA journal of management mathematics
24
(
2013
)
1
,
pp. 89-110
Persistent link: https://www.econbiz.de/10009716279
Saved in:
3
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
Saved in:
4
Computing risk measures of life insurance policies through the Cox-Ross-Rubinstein model
Costabile, Massimo
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 86-94
Persistent link: https://www.econbiz.de/10011968701
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5
Capacity investment under uncertainty : the effect of volume flexibility
Giovanni, Domenico de
;
Massabo, Ivar
- In:
International journal of production economics
198
(
2018
),
pp. 165-176
Persistent link: https://www.econbiz.de/10011821087
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6
A note on longest processing time algorithms for the two uniform parallel machine makespan minimization problem
Massabo, Ivar
;
Paletta, Giuseppe
;
Ruiz-Torres, Alex J.
- In:
Journal of scheduling
19
(
2016
)
2
,
pp. 207-211
Persistent link: https://www.econbiz.de/10011458410
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7
A note on posterior tight worst-case bounds for longest processing time schedules
Ho, Johnny
;
Massabo, Ivar
;
Paletta, Guiseppe
; …
- In:
4OR : a quarterly journal of operations research
17
(
2019
)
1
,
pp. 97-107
Persistent link: https://www.econbiz.de/10011991615
Saved in:
8
Pricing and hedging American barrier options by a modified binomial method
Gaudenzi, Marcellino
;
Lepellere, Maria Antonietta
- In:
International journal of theoretical and applied finance
9
(
2006
)
4
,
pp. 533-553
Persistent link: https://www.econbiz.de/10003347387
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9
An efficient binomial method for pricing American options
Gaudenzi, Marcellino
;
Pressacco, Flavio
- In:
Decisions in economics and finance : DEF ; a journal of …
26
(
2003
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10003837087
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10
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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