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Volatility
Option pricing theory
54
Optionspreistheorie
54
Theorie
33
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33
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27
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27
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25
Stochastischer Prozess
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Kyriakou, Ioannis
11
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9
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3
Papapostolou, Nikos C.
3
Pouliasis, Panos K.
3
Ballotta, Laura
2
Caldana, Ruggero
2
Corsaro, Stefania
2
Di Iorio, Francesca
2
Gambaro, Anna Maria
2
Loregian, Angela
2
Marazzina, Daniele
2
Marino, Zelda
2
Mignacca, Domenico
2
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2
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1
Bernis, Guillaume
1
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1
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1
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1
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European journal of operational research : EJOR
2
Transportation research / E : an international journal
2
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1
Energy economics
1
Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets
1
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1
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1
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Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
Brignone, Riccardo
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 232-247
Persistent link: https://www.econbiz.de/10012482885
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2
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:
3
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
Saved in:
4
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:
5
Estimation of multivariate asset models with jumps
Ballotta, Laura
;
Fusai, Gianluca
;
Loregian, Angela
; …
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
Saved in:
6
Accurate pricing of swaptions via lower bound
Gambaro, Anna Maria
;
Caldana, Ruggero
;
Fusai, Gianluca
- In:
Handbook of recent advances in commodity and financial …
,
(pp. 183-208)
.
2018
Persistent link: https://www.econbiz.de/10011898636
Saved in:
7
Incremental volatility and related portfolio analytics
Mignacca, Domenico
;
Fusai, Gianluca
- In:
The journal of portfolio management : JPM
49
(
2023
)
5
,
pp. 131-147
Persistent link: https://www.econbiz.de/10014307603
Saved in:
8
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Bernis, Guillaume
;
Brignone, Riccardo
;
Scotti, Simone
; …
- In:
Mathematics and financial economics
15
(
2021
)
4
,
pp. 747-773
Persistent link: https://www.econbiz.de/10012616856
Saved in:
9
Exact simulation of the Hull and White stochastic volatility model
Brignone, Riccardo
;
Gonzato, Luca
- In:
Journal of economic dynamics & control
163
(
2024
),
pp. 1-17
Persistent link: https://www.econbiz.de/10015050813
Saved in:
10
Freight options : price modelling and empirical analysis
Nomikos, Nikos K.
;
Kyriakou, Ioannis
;
Papapostolou, Nikos C.
- In:
Transportation research / E : an international journal
51
(
2013
),
pp. 82-94
Persistent link: https://www.econbiz.de/10009734013
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