Zobrazeno 1 - 10
of 106
pro vyhledávání: '"D'Addona, Stefano"'
Autor:
Marinelli, Carlo, D'Addona, Stefano
We examine the empirical performance of some parametric and nonparametric estimators of prices of options with a fixed time to maturity, focusing on variance-gamma and Heston models on one side, and on expansions in Hermite functions on the other sid
Externí odkaz:
http://arxiv.org/abs/2412.00135
Autor:
Marinelli, Carlo, d'Addona, Stefano
We consider approximate pricing formulas for European options based on approximating the logarithmic return's density of the underlying by a linear combination of rescaled Hermite polynomials. The resulting models, that can be seen as perturbations o
Externí odkaz:
http://arxiv.org/abs/2209.09656
Autor:
d’Addona, Stefano, Khanom, Najrin
Publikováno v:
In International Review of Economics and Finance November 2022 82:241-260
Autor:
Marinelli, Carlo1 (AUTHOR), d'Addona, Stefano2 (AUTHOR) daddona@uniroma3.it
Publikováno v:
Annals of Finance. Dec2023, Vol. 19 Issue 4, p477-522. 46p.
Autor:
Marinelli, Carlo, d'Addona, Stefano
We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during the year 2012. Two main families of estimators are considered, obtaine
Externí odkaz:
http://arxiv.org/abs/1506.06568
For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable and Student's t distributions allowing different marginals to have di
Externí odkaz:
http://arxiv.org/abs/1005.2862
Autor:
Marinelli, Carlo, d’Addona, Stefano
Publikováno v:
In Journal of Empirical Finance December 2017 44:19-35
Autor:
Cavallari, Lilia, D'Addona, Stefano
Publikováno v:
In Economic Modelling August 2017 64:365-383
Autor:
Cavallari, Lilia, D׳Addona, Stefano
Publikováno v:
In Research in Economics December 2015 69(4):582-602
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