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~isPartOf:"Applied mathematical finance"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Working papers"
~person:"Fusai, Gianluca"
~person:"Oosterlee, Cornelis Willebrordus"
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Search: subject_exact:"Optionspreistheorie"
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Option pricing theory
8
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Fusai, Gianluca
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Cui, Zhenyu
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Applied mathematical finance
European journal of operational research : EJOR
Working papers
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1
On a neural network to extract implied information from american options
Liu, Shuaiqiang
;
Leitao, Álvaro
;
Borovykh, Anastasia
; …
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 449-475
Persistent link: https://www.econbiz.de/10013411712
Saved in:
2
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
Saved in:
3
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
European journal of operational research : EJOR
271
(
2018
)
1
,
pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
Saved in:
4
On the modelling of nested risk-neutral stochastic processes with applications in insurance
Singor, S. N.
;
Boer, A.
;
Alberts, J. S. C.
;
Oosterlee, …
- In:
Applied mathematical finance
24
(
2017
)
3/4
,
pp. 302-336
Persistent link: https://www.econbiz.de/10011815235
Saved in:
5
Electricity forward curves with thin granularity : theory and empirical evidence in the hourly EPEXspot market
Caldana, Ruggero
;
Fusai, Gianluca
;
Roncoroni, Andrea
- In:
European journal of operational research : EJOR
261
(
2017
)
2
,
pp. 715-734
Persistent link: https://www.econbiz.de/10011738512
Saved in:
6
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Fusai, Gianluca
;
Germano, Guido
;
Marazzina, Daniele
- In:
European journal of operational research : EJOR
251
(
2016
)
1
,
pp. 124-134
Persistent link: https://www.econbiz.de/10011446230
Saved in:
7
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
Saved in:
8
Pricing exotic derivatives exploiting structure
Sesana, Debora
;
Marazzina, Daniele
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
236
(
2014
)
1
,
pp. 369-381
Persistent link: https://www.econbiz.de/10010361703
Saved in:
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