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Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche Torino, Italy
Università degli Studi di Torino
: +39 011 670.6129
+39 011 670.6062
Corso Unione Sovietica, 218/bis - 10134 TORINO
RePEc:edi:dstorit (more details at EDIRC)
Research outputJump to: Articles
- Gianluca Fusai & Daniele Marazzina & Marina Marena & Michael Ng, 2012. "Z -Transform and preconditioning techniques for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1381-1394, November.
- Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008. "Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2033-2045, October.
- Renato Camillo & Marina Marena, 1994. "Un metodo di valutazione di un portafoglio assicurativo vita," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 17(2), pages 61-77, September.
CitationsMany of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.
- Gianluca Fusai & Daniele Marazzina & Marina Marena & Michael Ng, 2012.
"Z -Transform and preconditioning techniques for option pricing,"
Taylor & Francis Journals, vol. 12(9), pages 1381-1394, November.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," LSE Research Online Documents on Economics 67564, London School of Economics and Political Science, LSE Library.
- Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008.
"Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets,"
Journal of Banking & Finance,
Elsevier, vol. 32(10), pages 2033-2045, October.
- Roncoroni, Andrea & Id Brik, Rachid, 2017. "Hedging size risk: Theory and application to the US gas market," Energy Economics, Elsevier, vol. 64(C), pages 415-437.
- González-Pedraz, Carlos & Cartea, Álvaro, 2010.
"How much should we pay for interconnecting electricity markets? A real options approach,"
DEE - Working Papers. Business Economics. WB
wb103206, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Cartea, Álvaro & González-Pedraz, Carlos, 2012. "How much should we pay for interconnecting electricity markets? A real options approach," Energy Economics, Elsevier, vol. 34(1), pages 14-30.
- Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
- Cui, Zhenyu & Lee, Chihoon & Liu, Yanchu, 2018. "Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes," European Journal of Operational Research, Elsevier, vol. 266(3), pages 1134-1139.
- Chung, Shing Fung & Wong, Hoi Ying, 2014. "Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 130-140.
- Hideharu Funahashi & Masaaki Kijima, 2017. "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, vol. 20(3), pages 203-229, October.
- Pun, Chi Seng & Chung, Shing Fung & Wong, Hoi Ying, 2015. "Variance swap with mean reversion, multifactor stochastic volatility and jumps," European Journal of Operational Research, Elsevier, vol. 245(2), pages 571-580.
- Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options," Papers 1706.09659, arXiv.org.
- Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
- Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 37, November.
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