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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
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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
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A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania; Kyriakou, Ioannis; Marazzina, Daniele; … - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
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Integrated structural approach to Credit Value Adjustment
Ballotta, Laura; Fusai, Gianluca; Marazzina, Daniele - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1143-1157
Persistent link: https://www.econbiz.de/10011942867
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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
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Health insurance, portfolio choice, and retirement incentives
Barucci, Emilio; Biffs, Enrico; Marazzina, Daniele - In: European journal of operational research : EJOR 307 (2023) 2, pp. 910-921
Persistent link: https://www.econbiz.de/10014335292