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EFFICIENT MONTE CARLO BARRIER OPTION PRICING WHEN THE UNDERLYING SECURITY PRICE FOLLOWS A JUMP-DIFFUSION PROCESS
Costabile, Massimo; Massabó, Ivar - In: The journal of derivatives : the official publication … 17 (2010) 3, pp. 45-53
Persistent link: https://www.econbiz.de/10008393826
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A Forward Shooting Grid Method for Option Pricing with Stochastic Volatility
Costabile, Massimo; Massabó, Ivar; Russo, Emilio - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 67-78
Persistent link: https://www.econbiz.de/10010052350
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Computing risk measures of life insurance policies through the Cox-Ross-Rubinstein model
Costabile, Massimo - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 86-94
Persistent link: https://www.econbiz.de/10011968701
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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