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Computationally simple lattice methods for option and bond pricing
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar - In: Decisions in economics and finance : DEF ; a journal of … 32 (2009) 2, pp. 161-181
Persistent link: https://www.econbiz.de/10003893191
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An adjusted binomial model for pricing Asian options
Costabile, Massimo; Massabó, Ivar; Russo, Emilio - In: Review of quantitative finance and accounting 27 (2006) 3, pp. 285-296
Persistent link: https://www.econbiz.de/10003374247
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On pricing lookback options under the CEV process
Costabile, Massimo - In: Decisions in economics and finance : DEF ; a journal of … 29 (2006) 2, pp. 139-153
Persistent link: https://www.econbiz.de/10003835677
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A combinatorial approach for pricing Parisian options
Costabile, Massimo - In: Decisions in economics and finance : DEF ; a journal of … 25 (2002) 2, pp. 111-125
Persistent link: https://www.econbiz.de/10001722903
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A bivariate lattice model to compute risk measures in life insurance policies
Costabile, Massimo - In: The journal of derivatives : JOD 28 (2021) 3, pp. 123-139
Persistent link: https://www.econbiz.de/10012486033
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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 binomial model for pricing US-style average options with reset features
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: International journal of financial markets and derivatives 1 (2010) 3, pp. 258-273
Persistent link: https://www.econbiz.de/10008665670
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A mulistage stochastic programming approach for capital budgeting problems under uncertainty
Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; … - In: IMA journal of management mathematics 24 (2013) 1, pp. 89-110
Persistent link: https://www.econbiz.de/10009716279
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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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Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
Costabile, Massimo - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 597-600
Persistent link: https://www.econbiz.de/10010227933