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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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A simplified approach to approximate diffusion processes widely used in finance
Costabile, Massimo; Massabó, Ivar - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 65-85
Persistent link: https://www.econbiz.de/10003961022
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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; 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
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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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On pricing Asian options under stochastic volatility
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 23 (2016) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
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A flexible lattice model for pricing contingent claims under multiple risk factors
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 26 (2018) 1, pp. 27-44
Persistent link: https://www.econbiz.de/10011968670