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An explicitly solvable multi-scale stochastic volatility model : option pricing and calibration problems
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: The journal of futures markets 29 (2009) 9, pp. 862-893
Persistent link: https://www.econbiz.de/10003900928
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The analysis of real data using a multiscale stochastic volatility model
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: European financial management : the journal of the … 19 (2013) 1, pp. 153-179
Persistent link: https://www.econbiz.de/10009706264
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Calibration in the "real world" of a partially specified stochastic volatility model
Fatone, Lorella; Mariani, Francesca; Zirilli, Francesco - In: The journal of futures markets 44 (2024) 1, pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
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Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory
Mariani, Francesca; Pacelli, Graziella; Zirilli, Francesco - In: Optimization letters 2 (2008) 2, pp. 177-222
Persistent link: https://www.econbiz.de/10003687162
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A pertubative formula to price barrier options with time-dependent parameters in the black and scholes world
Fatone, Lorella; Recchioni, Maria Cristina; Zirilli, … - In: Journal of risk 10 (2007/08) 2, pp. 131-146
Persistent link: https://www.econbiz.de/10003643672
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Modelling options on football players using individual rankings and club market value : evidence from Italy
Cucculelli, Marco; Jha, Paritosh Navinchandra; Mariani, … - In: International Journal of Financial Markets and … 10 (2024) 1, pp. 47-69
Persistent link: https://www.econbiz.de/10015064461
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A hybrid method for pricing European options based on multiple assets with transaction costs
Pacelli, Graziella; Recchioni, Maria Cristina; Zirilli, … - In: Applied mathematical finance 6 (1999) 2, pp. 61-85
Persistent link: https://www.econbiz.de/10001449240
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A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
Ballestra, Luca Vincenzo; Pacelli, Graziella; Zirilli, … - In: Journal of banking & finance 31 (2007) 11, pp. 3420-3437
Persistent link: https://www.econbiz.de/10003577417
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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
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Levy processes and option pricing by recursive quadrature
Fusai, Gianluca; Longo, Giovanni; Marena, Marina; … - 2012
Persistent link: https://www.econbiz.de/10009579937