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Exchange option pricing under...
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Option pricing theory
8
Optionspreistheorie
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6
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Antonelli, Fabio
31
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11
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8
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8
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5
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4
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1
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
Saved in:
2
Random time forward-starting options
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011686733
Saved in:
3
Exchange option pricing under stochastic volatility: a correlation expansion
Antonelli, F.
;
Ramponi, A.
;
Scarlatti, S.
- In:
Review of Derivatives Research
13
(
2010
)
1
,
pp. 45-73
Persistent link: https://www.econbiz.de/10010867543
Saved in:
4
A fast Fourier transform technique for pricing American options under stochastic volatility
Antonelli, F.
;
Ramponi, A.
;
Scarlatti, S.
- In:
Review of derivatives research
13
(
2010
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10008389595
Saved in:
5
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
Saved in:
6
Rate of convergence of Monte Carlo simulations for the Hobson-Rogers model
Antonelli, Fabio
;
Prezioso, Valentina
- In:
International journal of theoretical and applied finance
11
(
2008
)
8
,
pp. 889-904
Persistent link: https://www.econbiz.de/10003812859
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7
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
Saved in:
8
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
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9
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
Saved in:
10
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
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