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~person:"Maurer, Raimond"
~person:"Vorst, Ton"
~person:"Zanette, Antonino"
~subject:"Optionspreistheorie"
~subject:"Volatility"
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Optionspreistheorie
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Maurer, Raimond
Vorst, Ton
Zanette, Antonino
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27
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22
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21
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18
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ECONIS (ZBW)
22
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1
Moving average options : machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
European journal of operational research : EJOR
303
(
2022
)
2
,
pp. 958-974
Persistent link: https://www.econbiz.de/10013364051
Saved in:
2
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 573-591
Persistent link: https://www.econbiz.de/10012194908
Saved in:
3
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
4
Fast binomial procedures for pricing Parisian/ParAsian options
Gaudenzi, Marcellino
;
Zanette, Antonino
- In:
Computational Management Science : CMS
14
(
2017
)
3
,
pp. 313-331
Persistent link: https://www.econbiz.de/10011710827
Saved in:
5
A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model
Appolloni, Elisa
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
IMA journal of management mathematics
26
(
2015
)
4
,
pp. 377-401
Persistent link: https://www.econbiz.de/10011515669
Saved in:
6
The binomial interpolated lattice method for step double barrier options
Appolloni, Elisa
;
Gaudenzi, Marcellino
;
Zanette, Antonino
- In:
International journal of theoretical and applied finance
17
(
2014
)
6
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010438537
Saved in:
7
The singular points binominal method for pricing American path-dependent options
Gaudenzi, Marcellino
;
Zanette, Antonino
;
Lepellere, …
- In:
The journal of computational finance
14
(
2010/11
)
1
,
pp. 29-56
Persistent link: https://www.econbiz.de/10008736753
Saved in:
8
Monte Carlo methods for pricing and hedging American options in high dimension
Caramellino, Lucia
;
Zanette, Antonino
- In:
Risk and decision analysis
2
(
2010/11
)
4
,
pp. 207-220
Persistent link: https://www.econbiz.de/10009537820
Saved in:
9
Pricing American barrier options with discrete dividends by binomial trees
Gaudenzi, Marcellino
;
Zanette, Antonino
- In:
Decisions in economics and finance : DEF ; a journal of …
32
(
2009
)
2
,
pp. 129-148
Persistent link: https://www.econbiz.de/10003893186
Saved in:
10
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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