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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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A reduced lattice model for option pricing under regime-switching
Costabile, Massimo; Leccadito, Arturo; Massabo, Ivar; … - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 667-690
Persistent link: https://www.econbiz.de/10010433525
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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
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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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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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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
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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