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Kohatsu-Higa, Arturo
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Antonelli, Fabio
3
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2
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2
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1
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Finance and stochastics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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A fast Fourier transform technique for pricing American options under stochastic volatility
Antonelli, F.
;
Ramponi, A.
;
Scarlatti, S.
- In:
Review of derivatives research
13
(
2010
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10008389595
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2
A comparison result for FBSDE with applications to decisions theory
Antonelli, Fabio
;
Barucci, Emilio
;
Mancino, Maria Elvira
- In:
Mathematical methods of operations research
54
(
2001
)
3
,
pp. 407-424
Persistent link: https://www.econbiz.de/10006618232
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3
Pricing options under stochastic volatility: a power series approach
Antonelli, Fabio
;
Scarlatti, Sergio
- In:
Finance and stochastics
13
(
2009
)
2
,
pp. 269
Persistent link: https://www.econbiz.de/10008211978
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4
Asset pricing with a forward-backward stochastic differential utility
Antonelli, Fabio
;
Barucci, Emilio
;
Mancino, Maria Elvira
- In:
Economics letters
72
(
2001
)
2
,
pp. 151-158
Persistent link: https://www.econbiz.de/10006774140
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5
Additional utility of insiders with imperfect dynamical information
Corcuera, José M.
;
Imkeller, Peter
;
Kohatsu-Higa, Arturo
; …
- In:
Finance and stochastics
8
(
2004
)
3
,
pp. 437
Persistent link: https://www.econbiz.de/10008214758
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6
Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
Bernis, Guillaume
;
Gobet, Emmanuel
;
Kohatsu-Higa, Arturo
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 99-114
Persistent link: https://www.econbiz.de/10008215730
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7
Local Vega Index and Variance Reduction Methods
Bermin, Hans-Peter
;
Kohatsu-Higa, Arturo
;
Montero, Miquel
- In:
Mathematical finance : an international journal of …
13
(
2003
)
1
,
pp. 85-98
Persistent link: https://www.econbiz.de/10008215731
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8
Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
Kawai, Reiichiro
;
Kohatsu-Higa, Arturo
- In:
Applied mathematical finance
17
(
2010
)
4
,
pp. 301-322
Persistent link: https://www.econbiz.de/10008443441
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