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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

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

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

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

A reduced lattice model for option pricing under regime-switching

Costabile, Massimo; Leccadito, Arturo; Massabo, Ivar; … - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 667-690

Persistent link: https://www.econbiz.de/10010433525

A binomial approximation for two-state Markovian HJM models

Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: Review of derivatives research 14 (2011) 1, pp. 37-65

Persistent link: https://www.econbiz.de/10009272493

A path-independent humped volatility model for option pricing

Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: Applied mathematical finance 20 (2013) 3/4, pp. 191-210

Persistent link: https://www.econbiz.de/10010187670

A shifted tree model for the efficient evaluation of options with fixed dividends

Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: IMA journal of management mathematics 29 (2018) 1, pp. 39-51

Persistent link: https://www.econbiz.de/10011858934

A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model

Russo, Emilio - In: Risks : open access journal 8 (2020) 1/9, pp. 1-22

This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the...

Persistent link: https://www.econbiz.de/10012204035

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