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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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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
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Risk management of climate impact for tourism operators : an empirical analysis on ski resorts
Ballotta, Laura; Fusai, Gianluca; Kyriakou, Ioannis; … - In: Tourism management : research, policies, practice 77 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012152024
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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
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Technical note: on matrix exponential differentiation with application to weighted sum distributions
Das, Milan Kumar; Tsai, Henghsiu; Kyriakou, Ioannis; … - In: Operations research 70 (2022) 4, pp. 1984-1995
Persistent link: https://www.econbiz.de/10013366400
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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
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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
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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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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
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Functional clustering and linear regression for peak load forecasting
Goia, Aldo; May, Caterina; Fusai, Gianluca - In: International journal of forecasting 26 (2010) 4, pp. 700-711
Persistent link: https://www.econbiz.de/10008807771