Sfoglia per Autore
On the derivation of the differential equations arising in option pricing
2000-01-01 Gaudenzi, Marcellino; Piccinini, Livio Clemente
Barrier Options: an approach by finite state systems of Black-Scholes equations
2001-01-01 Gaudenzi, Marcellino; Piccinini, Livio Clemente
Binomial methods for pricing american options
2001-01-01 Pressacco, Flavio; Gaudenzi, Marcellino
Positive solutions of singular boundary value problems with indefinite weight
2002-01-01 Gaudenzi, Marcellino; Habets, Patrick; Zanolin, Fabio
An efficient binomial method for pricing American options
2003-01-01 Gaudenzi, Marcellino; Pressacco, Flavio
Reduction of American Barrier Options to the European Case
2003-01-01 Gaudenzi, Marcellino; Piccinini, Livio Clemente
An example of a superlinear problem with multiple positive solutions
2003-01-01 Gaudenzi, Marcellino; Habets, Patrick; Zanolin, Fabio
American call barrier options
2003-01-01 Gaudenzi, Marcellino; Piccinini, Livio Clemente
Positive solutions for superlinear boundary value problems with singular indefinite weight
2003-01-01 Gaudenzi, Marcellino; Habets, P.; Zanolin, Fabio
High precision pricing and hedging of American put options
2004-01-01 Gaudenzi, M; Pressacco, Flavio; Zanette, A; Ziani, Laura
High Precision Pricing and Hedging of American Put Options: New Insights
2004-01-01 Gaudenzi, Marcellino; Pressacco, Flavio; Antonino, Zanette; Ziani, Laura
Reduction of American call barrier options to the European case
2004-01-01 Gaudenzi, Marcellino; Piccinini, Livio Clemente
High precision pricing and hedging of American put options: new insights on lattice based methods
2004-01-01 Gaudenzi, Marcellino; Pressacco, Flavio; Zanette, A; Ziani, Laura
A seven-positive-solutions theorem for a superlinear problem
2004-01-01 Gaudenzi, Marcellino; Habets, Patrick; Zanolin, Fabio
Efficient binomial algorithms for pricing American Asian options
2005-01-01 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; Zanette, Antonino
A new binomial algorithm for pricing American pathdependent options
2006-01-01 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; Zanette, Antonino
PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
2006-01-01 Gaudenzi, Marcellino; Lepellere, Maria Antonietta
New insights on testing the efficiency of methods of pricing and hedging American options
2008-01-01 Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino; Ziani, Laura
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
2009-01-01 Costabile, M; Gaudenzi, Marcellino; Massabò, I; Zanette, Antonino
Pricing American barrier options with discrete dividends by binomial trees
2009-01-01 Gaudenzi, Marcellino; Zanette, Antonino
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