Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Marcellino Gaudenzi"'
Autor:
Antonino Zanette, Marcellino Gaudenzi
Publikováno v:
Computational Management Science
Computational Management Science, Springer Verlag, 2017, 14 (3), pp.313-331. ⟨10.1007/s10287-017-0278-5⟩
Computational Management Science, 2017, 14 (3), pp.313-331. ⟨10.1007/s10287-017-0278-5⟩
Computational Management Science, Springer Verlag, 2017, 14 (3), pp.313-331. ⟨10.1007/s10287-017-0278-5⟩
Computational Management Science, 2017, 14 (3), pp.313-331. ⟨10.1007/s10287-017-0278-5⟩
International audience; The discrete procedures for pricing Parisian/ParAsian options depend, in general, on three dimensions: time, space, time spent over the barrier. Here we present some combinatorial and lattice procedures which reduce the comput
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::17e421baa9c76a6aaadeb61226af6dcf
https://hal.archives-ouvertes.fr/hal-01632859
https://hal.archives-ouvertes.fr/hal-01632859
Goodwin’s celebrated growth cycle model has been widely studied since its introduction in 1967. In recent years several contributions have appeared with the aim of amending the original model so as to improve its economic coherence and enrich its s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4f7ece9c6ce272faa2f6086bf494a4ab
http://hdl.handle.net/11390/1097942
http://hdl.handle.net/11390/1097942
Publikováno v:
The Journal of Computational Finance. 14:29-56
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e07aee79881a82a2d749abec79b954bc
https://doi.org/10.21314/jcf.2010.214
https://doi.org/10.21314/jcf.2010.214
Autor:
Marcellino Gaudenzi
Publikováno v:
Nonlinear Analysis: Hybrid Systems. 4:432-440
We are dealing with the problem of counting the paths joining two points of a chessboard in the presence of a barrier. The formula for counting all the paths joining two distinct positions on the chessboard lying always over a barrier is well known (
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a0e6beebf8955cdef6fe63b75365c0f
https://doi.org/10.1016/j.nahs.2009.11.001
https://doi.org/10.1016/j.nahs.2009.11.001
Publikováno v:
Insurance: Mathematics and Economics. 45:286-295
We tackle the problem of computing fair periodical premiums of an equity-linked policy with a maturity guarantee and an embedded surrender option. We consider the policy as a Bermudan-style contingent claim that can be exercised at the premium paymen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4ce97a01e4c5721df539afe04d00362b
https://doi.org/10.1016/j.insmatheco.2009.07.008
https://doi.org/10.1016/j.insmatheco.2009.07.008
Publikováno v:
Advanced Nonlinear Studies. 4:149-164
We consider the superlinear boundary value problem uʺ + aμ(t)uγ+1 = 0, u(0) = 0, u(1) = 0, where γ > 0 and aμ(t) is a sign indefinite weight of the form a+(t)−μa−(t). We prove, for μ positive and large, the existence of 2k − 1 positive s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::10cf61654f01fbdd18d8d97d141dbbf4
https://doi.org/10.1515/ans-2004-0202
https://doi.org/10.1515/ans-2004-0202
Autor:
Flavio Pressacco, Marcellino Gaudenzi
Publikováno v:
Decisions in Economics and Finance. 26:1-17
We present a new method for obtaining fast and accurate estimates of the price of an American put option by binomial trees. The method is based on the interpolation of suitable values obtained by modifying the contractual strike. A time-saving proced
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::047141d0e5c1016383a47693bcbe4db5
https://doi.org/10.1007/s102030300000
https://doi.org/10.1007/s102030300000
Publikováno v:
Communications on Pure & Applied Analysis. 2:411-423
In the present paper, we propose a method to deal with non-ordered lower and upper solutions in the case of ODE's with singular coefficients. As an application, we study the existence of positive solutions for a two-point boundary value problem on]0,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d0c6983d7a9a71827a1e1910c0118620
https://doi.org/10.3934/cpaa.2003.2.411
https://doi.org/10.3934/cpaa.2003.2.411
Publikováno v:
International Journal of Theoretical and Applied Finance
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2014, 17 (6), pp.1450035. ⟨10.1142/S0219024914500356⟩
International Journal of Theoretical and Applied Finance, 2014, 17 (6), pp.1450035. ⟨10.1142/S0219024914500356⟩
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2014, 17 (6), pp.1450035. ⟨10.1142/S0219024914500356⟩
International Journal of Theoretical and Applied Finance, 2014, 17 (6), pp.1450035. ⟨10.1142/S0219024914500356⟩
International audience; We consider the problem of pricing step double barrier options with binomial lattice methods. We introduce an algorithm, based on interpolation techniques, that is robust and efficient, that treats the "near barrier" problem f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2448b13df6e0193fd9fb5832bfd0f8d0
http://hdl.handle.net/11390/870209
http://hdl.handle.net/11390/870209