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Pricing general barrier options : a numerical approach using sharp large deviations
Baldi, Paolo; Caramellino, Lucia; Iovino, Maria Gabriella - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 293-322
Persistent link: https://www.econbiz.de/10001444185
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An exit-probability-based approach for the valuation of defaultable securities
Caramellino, Lucia; Iovino, Maria Gabriella - In: The journal of computational finance 6 (2002) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10001704737
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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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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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Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational management science 17 (2020) 2, pp. 163-178
Persistent link: https://www.econbiz.de/10012272056