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A reduced lattice model for op...
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Volatility
Option pricing theory
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Russo, Emilio
6
Costabile, Massimo
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Leccadito, Arturo
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Staino, Alessandro
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The journal of derivatives : the official publication of the International Association of Financial Engineers
3
Applied mathematical finance
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Energy economics
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European journal of operational research : EJOR
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ECONIS (ZBW)
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A forward shooting grid method for option pricing with stochastic volatility
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
The journal of derivatives : the official publication …
20
(
2012
)
2
,
pp. 67-78
Persistent link: https://www.econbiz.de/10009718105
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2
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
Saved in:
3
Compound option pricing under stochastic volatility
Leccadito, Arturo
;
Russo, Emilio
- In:
International journal of financial markets and derivatives
5
(
2016
)
2/4
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011742310
Saved in:
4
On pricing lookback options under the CEV process
Costabile, Massimo
- In:
Decisions in economics and finance : DEF ; a journal of …
29
(
2006
)
2
,
pp. 139-153
Persistent link: https://www.econbiz.de/10003835677
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5
A lattice-based model for evaluating bonds and interest-sensitive claims under stochastic volatility
Russo, Emilio
;
Staino, Alessandro
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011892605
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6
On pricing Asian options under stochastic volatility
Russo, Emilio
;
Staino, Alessandro
- In:
The journal of derivatives : the official publication …
23
(
2016
)
4
,
pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
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7
Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility
Staino, Alessandro
;
Russo, Emilio
- In:
European journal of operational research : EJOR
280
(
2020
)
2
,
pp. 741-753
Persistent link: https://www.econbiz.de/10012132469
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8
A simplified approach to approximate diffusion processes widely used in finance
Costabile, Massimo
;
Massabó, Ivar
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 65-85
Persistent link: https://www.econbiz.de/10003961022
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9
Risk premia in electricity derivatives markets
Algieri, Bernardina
;
Leccadito, Arturo
;
Tunaru, Diana
- In:
Energy economics
100
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012990257
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10
Extreme price moves : an INGARCH approach to model coexceedances in commodity markets
Algieri, Bernardina
;
Leccadito, Arturo
- In:
European review of agricultural economics
48
(
2021
)
4
,
pp. 878-914
Persistent link: https://www.econbiz.de/10012618810
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