Narrow search
Showing 31 - 40 of 44
Cover Image
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
Cover Image
A Path-Independent Humped Volatility Model for Option Pricing
Costabile, Massimo; Massab, Ivar; Russo, Emilio - In: Applied mathematical finance 20 (2013) 3, pp. 191-210
Persistent link: https://www.econbiz.de/10010140084
Cover Image
A mulistage stochastic programming approach for capital budgeting problems under uncertainty
Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; … - In: IMA journal of management mathematics 24 (2013) 1, pp. 89-110
Persistent link: https://www.econbiz.de/10009716279
Cover Image
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
Cover Image
Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
Costabile, Massimo - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 597-600
Persistent link: https://www.econbiz.de/10010227933
Cover Image
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
Cover Image
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
Costabile, Massimo; Gaudenzi, Marcellino; Massabo, Ivar; … - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 286-295
Persistent link: https://www.econbiz.de/10009517565
Cover Image
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
Cover Image
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
Cover Image
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