Zobrazeno 1 - 10
of 243
pro vyhledávání: '"Marinelli, Carlo"'
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
We establish well-posedness in the mild sense for a class of stochastic semilinear evolution equations on $L^p$ spaces on bounded domains of $\mathbb{R}^n$ with a nonlinear drift term given by the superposition operator generated by a monotone functi
Externí odkaz:
http://arxiv.org/abs/2312.17651
Autor:
Marinelli, Carlo
Publikováno v:
J. Appl. Probab. 61 (2024) 999-1009
We show that an estimate by de la Pe\~na, Ibragimov and Jordan for $\mathbb{E}(X-c)^+$, with $c$ a constant and $X$ a random variable of which the mean, the variance, and $\mathbb{P}(X \leq c)$ are known, implies an estimate by Scarf on the infimum o
Externí odkaz:
http://arxiv.org/abs/2306.10929
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:
Marinelli, Carlo
We obtain estimates on the first-order Malliavin derivative of mild solutions, evaluated at fixed points in time and space, to a class of parabolic dissipative stochastic PDEs on bounded domain of $\mathbb{R}^d$. In particular, such equations are dri
Externí odkaz:
http://arxiv.org/abs/2201.00053
Autor:
Marinelli, Carlo
We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options with convex payoffs in terms of prices of call options with the same ma
Externí odkaz:
http://arxiv.org/abs/2109.05564
Autor:
Marinelli, Carlo
We consider semilinear stochastic evolution equations on Hilbert spaces with multiplicative Wiener noise and linear drift term of the type $A + \varepsilon G$, with $A$ and $G$ maximal monotone operators and $\varepsilon$ a "small" parameter, and stu
Externí odkaz:
http://arxiv.org/abs/2012.15338
We study the dependence of mild solutions to linear stochastic evolution equations on Hilbert space driven by Wiener noise, with drift having linear part of the type $A+\varepsilon G$, on the parameter $\varepsilon$. In particular, we study the limit
Externí odkaz:
http://arxiv.org/abs/2012.14510
Publikováno v:
Rev. Roumaine Math. Pures Appl. 66 (2021), no. 1, 209-221
We present a new proof of well-posedness of stochastic evolution equations in variational form, relying solely on a (nonlinear) infinite-dimensional approximation procedure rather than on classical finite-dimensional projection arguments of Galerkin
Externí odkaz:
http://arxiv.org/abs/2009.09700
Autor:
Marinelli, Carlo, Scarpa, Luca
We provide sufficient conditions on the coefficients of a stochastic evolution equation on a Hilbert space of functions driven by a cylindrical Wiener process ensuring that its mild solution is positive if the initial datum is positive. As an applica
Externí odkaz:
http://arxiv.org/abs/1912.13259