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1

Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

Bally, Vlad, Caramellino, Lucia, Zanette, Antonino

Journal:

Monte Carlo Methods and Applications

Year:

2005

Language:

english

File:

PDF, 679 KB

english, 2005

2

Mentalization as alphabetization of the emotions: Oscillation between the opening and closing of possible worlds

Blasi, Valeria, Zanette, Michela, Ferro, Antonino

Journal:

International Forum of Psychoanalysis

Year:

2017

Language:

english

File:

PDF, 515 KB

english, 2017

3

Pricing American barrier options with discrete dividends by binomial trees

Marcellino Gaudenzi, Antonino Zanette

Journal:

Decisions in Economics and Finance

Year:

2009

Language:

english

File:

PDF, 444 KB

english, 2009

4

Pricing and hedging GLWB in the Heston and in the Black–Scholes with stochastic interest rate models

Goudenège, Ludovic, Molent, Andrea, Zanette, Antonino

Journal:

Insurance: Mathematics and Economics

Year:

2016

Language:

english

File:

PDF, 2.02 MB

english, 2016

5

Pricing cliquet options by tree methods

Marcellino Gaudenzi, Antonino Zanette

Journal:

Computational Management Science

Year:

2011

Language:

english

File:

PDF, 188 KB

english, 2011

6

ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING

ERN, ALEXANDRE, VILLENEUVE, STÉPHANE, ZANETTE, ANTONINO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2004

Language:

english

File:

PDF, 969 KB

english, 2004

7

Efficient pricing of swing options in Lévy-driven models

Kudryavtsev, Oleg, Zanette, Antonino

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 214 KB

english, 2013

8

THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS

APPOLLONI, ELISA, GAUDENZI, MARCELLINO, ZANETTE, ANTONINO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2014

Language:

english

File:

PDF, 404 KB

english, 2014

9

Parabolic ADI Methods for Pricing American Options on Two Stocks

Stephane Villeneuve and Antonino Zanette

Journal:

Mathematics of Operations Research

Year:

2002

Language:

english

File:

PDF, 766 KB

english, 2002

10

A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model

Appolloni, Elisa, Caramellino, Lucia, Zanette, Antonino

Journal:

IMA Journal of Management Mathematics

Year:

2015

Language:

english

File:

PDF, 212 KB

english, 2015

11

Fast binomial procedures for pricing Parisian/ParAsian options

Marcellino Gaudenzi,Antonino Zanette

Journal:

Computational Management Science

Year:

2017

Language:

english

File:

PDF, 869 KB

english, 2017

12

Pricing and hedging GMWB in the Heston and in the Black–Scholes with stochastic interest rate models

Goudenege, Ludovic, Molent, Andrea, Zanette, Antonino

Journal:

Computational Management Science

Year:

2018

Language:

english

File:

PDF, 2.63 MB

english, 2018

13

Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model

Massimo Costabile, Marcellino Gaudenzi, Ivar Massabò, Antonino Zanette

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.69 MB

english, 2009

14

Co-expression of Epstein-Barr virus latent membrane protein and vimentin in “aggressive” histological subtypes of Hodgkin's disease

Antonino Carbone, Annunziata Gloghini, Ivana Zanette, Barbara Canal, Aurora Rizzo, Rachele Volpe

Journal:

Virchows Archiv

Year:

1993

Language:

english

File:

PDF, 1.61 MB

english, 1993

15

A mixed PDE-Monte Carlo approach for pricing credit default index swaptions

Vlad Bally, Lucia Caramellino, Antonino Zanette

Journal:

Decisions in Economics and Finance

Year:

2006

Language:

english

File:

PDF, 164 KB

english, 2006

16

A moments and strike matching binomial algorithm for pricing American Put options

Benjamin Jourdain, Antonino Zanette

Journal:

Decisions in Economics and Finance

Year:

2008

Language:

english

File:

PDF, 294 KB

english, 2008

17

New insights on testing the efficiency of methods of pricing and hedging American options

Flavio Pressacco, Marcellino Gaudenzi, Antonino Zanette, Laura Ziani

Journal:

European Journal of Operational Research

Year:

2008

Language:

english

File:

PDF, 1.05 MB

english, 2008

18

Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model

Wei, Xiao, Gaudenzi, Marcellino, Zanette, Antonino

Journal:

North American Actuarial Journal

Year:

2013

Language:

english

File:

PDF, 384 KB

english, 2013

19

Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

Bally, Vlad, Caramellino, Lucia, Zanette, Antonino

Journal:

Monte Carlo Methods and Applications

Year:

2005

Language:

english

File:

PDF, 711 KB

english, 2005

20

KP1/CD68 Expression in Malignant Neoplasms Including Lymphomas, Sarcomas, and Carcinomas

Gloghini, Annunziata, Rizzo, Aurora, Zanette, Ivana, Canal, Barbara, Rupolo, Giancarlo, Bassi, Paola, Carbone, Antonino

Journal:

American Journal of Clinical Pathology

Year:

1995

Language:

english

File:

PDF, 2.40 MB

english, 1995

21

Demonstration of Epstein-Barr Viral Genomes by In Situ Hybridization in Acquired Immune Deficiency Syndrome-Related High Grade and Anaplastic Large Cell CD30 + Lymphomas

Carbone, Antonino, Gloghini, Annunziata, Zanette, Ivana, Canal, Barbara, Volpe, Rachele

Journal:

American Journal of Clinical Pathology

Year:

1993

Language:

english

File:

PDF, 1.72 MB

english, 1993

22

Parabolic ADI Methods for Pricing American Options on Two Stocks

Villeneuve, Stephane, Zanette, Antonino

Journal:

Mathematics of Operations Research

Year:

2002

Language:

english

File:

PDF, 326 KB

english, 2002

23

Computing credit valuation adjustment solving coupled PIDEs in the Bates model

GoudenÃ¨ge, Ludovic, Molent, Andrea, Zanette, Antonino

Journal:

Computational Management Science

Year:

2020

File:

PDF, 293 KB

2020

24

Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate

GoudenÃ¨ge, Ludovic, Molent, Andrea, Zanette, Antonino

Journal:

Decisions in Economics and Finance

Year:

2020

File:

PDF, 544 KB

2020