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A discrete-time approach to evaluate path-dependent derivatives in a regime-switching risk model
Russo, Emilio - In: Risks 8 (2020) 1, pp. 1-22
This paper provides a discrete-time approach for evaluating financial and actuarial products characterized by path-dependent features in a regime-switching risk model. In each regime, a binomial discretization of the asset value is obtained by modifying the parameters used to generate the...
Persistent link: https://www.econbiz.de/10013200544
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The dynamics of the S&P 500 under a crisis context: Insights from a three-regime switching model
Cerboni Baiardi, Lorenzo; Costabile, Massimo; de … - In: Risks 8 (2020) 3, pp. 1-15
This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...
Persistent link: https://www.econbiz.de/10013200604
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An adjusted binomial model for pricing Asian options
Costabile, Massimo; Massabó, Ivar; Russo, Emilio - In: Review of quantitative finance and accounting 27 (2006) 3, pp. 285-296
Persistent link: https://www.econbiz.de/10003374247
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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
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A moment-matching method to generate arbitrage-free scenarios
Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 246 (2015) 2, pp. 619-630
Persistent link: https://www.econbiz.de/10011338769
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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
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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
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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
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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
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The dynamics of the S&P 500 under a crisis context : insights from a three-regime switching model
Baiardi, Lorenzo Cerboni; Costabile, Massimo; Giovanni, … - In: Risks : open access journal 8 (2020) 3/71, pp. 1-15
This paper provides an econometric analysis aiming at evidencing the dynamics showed by the S&P 500 market index during the period of 4 January 2001-28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model...
Persistent link: https://www.econbiz.de/10012293127