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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
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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