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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) 3/4, pp. 302-321

Persistent link: https://www.econbiz.de/10008653256

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. 85-97

Persistent link: https://www.econbiz.de/10001765651

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. 99-113

Persistent link: https://www.econbiz.de/10001765655

Malliavin calculus in finance

Kohatsu-Higa, Arturo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001747498

Exchange option pricing under stochastic volatility : a correlation expansion

Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73

Persistent link: https://www.econbiz.de/10008695501

Pricing options under stochastic volatility : a power series approach

Antonelli, Fabio; Scarlatti, Sergio - In: Finance and stochastics 13 (2009) 2, pp. 269-303

Persistent link: https://www.econbiz.de/10003939521

CVA and vulnerable options in Stochastic volatility models

Alòs, Elisa; Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012650293

Approximate value adjustments for European claims

Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: European journal of operational research : EJOR 300 (2022) 3, pp. 1149-1161

Persistent link: https://www.econbiz.de/10013207329

Random time forward-starting options

Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-25

Persistent link: https://www.econbiz.de/10011686733

CVA and Vulnerable Options in Stochastic Volatility Models

Alos, Elisa - 2019

In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerning the solvability of the issuer. CVA is needed to evaluate correctly the contract and it is particularly important...

Persistent link: https://www.econbiz.de/10012865678