Similar Search Results

RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL

ANTONELLI, FABIO; PREZIOSO, VALENTINA - In: International Journal of Theoretical and Applied … 11 (2008) 08, pp. 889-904

The Hobson–Rogers model is used to price derivative securities under the no-arbitrage condition in a stochastic volatility setting, preserving the completeness of the market. Here we are studying the rate of convergence of the Euler/Monte Carlo approximations, when pricing European, Asian and...

Persistent link: https://www.econbiz.de/10005080468

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

Option-based risk management of a bond portfolio under regime switching interest rates

Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 1, pp. 47-70

Persistent link: https://www.econbiz.de/10009729065

Rate of convergence of a particle method to the solution of the Mc Kean- Vlasov's equation

Antonelli, Fabio (contributor); … - 1998

Persistent link: https://www.econbiz.de/10000990861

A comparison result for FBSDE with applications to decisions theory

Antonelli, Fabio; Barucci, Emilio; Mancino, Maria Elvira - In: Mathematical methods of operations research 54 (2001) 3, pp. 407-423

Persistent link: https://www.econbiz.de/10001651368

Asset pricing with a forward-backward stochastic differential utility

Antonelli, Fabio; Barucci, Emilio; Mancino, Maria Elvira - In: Economics letters 72 (2001) 2, pp. 151-157

Persistent link: https://www.econbiz.de/10001589220

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

Consumption optimization for recursive utility in a jump-diffusion model

Antonelli, Fabio; Mancini, Carlo - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 293-310

Persistent link: https://www.econbiz.de/10011642633