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Option pricing theory
Optionspreistheorie
33
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24
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24
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16
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16
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14
Stochastischer Prozess
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4
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4
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4
Kapitaleinkommen
4
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4
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Fusai, Gianluca
32
Marazzina, Daniele
7
Caldana, Ruggero
6
Germano, Guido
6
Kyriakou, Ioannis
5
Marena, Marina
4
Roncoroni, Andrea
4
Ballotta, Laura
3
Gambaro, Anna Maria
3
Casalini, Riccardo
2
Gambaro, Anna
2
Ghilarducci, Alessandro
2
Longo, Giovanni
2
Loregian, Angela
2
Phelan, Carolyn
2
Phelan, Carolyn E.
2
Recchioni, Maria Cristina
2
Tagliani, Aldo
2
Abrahams, I. David
1
Brignone, Riccardo
1
Frau, Carme
1
Fusai, G.
1
Gnoatto, Alessandro
1
Grasselli, Martino
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1
Meucci, Attilio
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Perez, M. Fabricio
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European journal of operational research : EJOR
5
Journal of banking & finance
3
Insurance / Mathematics & economics
2
Application of operations research to financial markets
1
Economic dynamics : theory, games and empirical studies
1
Encyclopedia of economics research ; Vol. 1
1
Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets
1
International journal of theoretical and applied finance
1
Journal of financial and quantitative analysis : JFQA
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
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Springer Finance
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ECONIS (ZBW)
33
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1
Analytical pricing of discretely monitored Asian-style options : theory and application to commodity markets
Fusai, Gianluca
;
Marena, Marina
;
Roncoroni, Andrea
- In:
Journal of banking & finance
32
(
2008
)
10
,
pp. 2033-2045
Persistent link: https://www.econbiz.de/10003778579
Saved in:
2
Pricing discretely monitored Asian options under Lévy processes
Fusai, Gianluca
;
Meucci, Attilio
- In:
Journal of banking & finance
32
(
2008
)
10
,
pp. 2076-2088
Persistent link: https://www.econbiz.de/10003778620
Saved in:
3
Levy processes and option pricing by recursive quadrature
Fusai, Gianluca
;
Longo, Giovanni
;
Marena, Marina
; …
- In:
Economic dynamics : theory, games and empirical studies
,
(pp. 31-57)
.
2009
Persistent link: https://www.econbiz.de/10003867857
Saved in:
4
The Wiener-Hopf technique and discretely monitored path-dependent option pricing
Green, Ross
;
Fusai, Gianluca
;
Abrahams, I. David
- In:
Mathematical finance : an international journal of …
20
(
2010
)
2
,
pp. 259-288
Persistent link: https://www.econbiz.de/10003955738
Saved in:
5
Levy processes and option pricing by recursive quadrature
Fusai, Gianluca
;
Longo, Giovanni
;
Marena, Marina
; …
-
2012
Persistent link: https://www.econbiz.de/10009579937
Saved in:
6
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
Saved in:
7
A general closed-form spread option pricing formula
Caldana, Ruggero
;
Fusai, Gianluca
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187
Saved in:
8
General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Fusai, Gianluca
;
Kyriakou, Ioannis
- In:
Mathematics of operations research
41
(
2016
)
2
,
pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
Saved in:
9
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
Saved in:
10
Implementing models in quantitative finance : methods and cases
Fusai, Gianluca
;
Roncoroni, Andrea
-
2008
Persistent link: https://www.econbiz.de/10003298342
Saved in:
1
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3
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