Approximating payoffs and pricing formulas
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Cited by:
- Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 258-290.
- Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020.
"Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016. "Early exercise decision in American options with dividends, stochastic volatility and jumps," Papers 1612.03031, arXiv.org.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012.
"Valuing American Options Using Fast Recursive Projections,"
Swiss Finance Institute Research Paper Series
12-26, Swiss Finance Institute.
- Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2016. "Valuing American options using fast recursive projections," Working Papers unige:82087, University of Geneva, Geneva School of Economics and Management.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2015. "Valuing American options using fast recursive projections," DEM Discussion Paper Series 15-20, Department of Economics at the University of Luxembourg.
- Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier, 2012. "Valuing American options using fast recursive projections," Working Papers unige:41856, University of Geneva, Geneva School of Economics and Management.
- Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2004.
"Kernel-based nonlinear canonical analysis and time reversibility,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 323-353, April.
- Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000. "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Working Papers 2000-18, Center for Research in Economics and Statistics.
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