Filo Fiorani

Merrill Lynch & Co.

One Bryant Park

New York, NY 10036

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Option Pricing under the Variance Gamma Process

Number of pages: 380 Posted: 08 Jun 2009
Filo Fiorani
Merrill Lynch & Co.
Downloads 1,690 (9,976)
Citation 6

Abstract:

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Variance Gamma Process, Option Pricing Under Variance Gamma, Numerical Solution of Option Prices Under Variance Gamma, Numerical Solution of Variance Gamma PIDE, Numerical Solutions of Variance Gamma Partial Differential Equation, Programming Code for Variance Gamma Option Pricing

2.

Credit Risk in Pure Jump Structural Models

ICER Working Paper No. 6/2006
Number of pages: 23 Posted: 23 Sep 2006
Elisa Luciano and Filo Fiorani
Collegio Carlo Alberto and Merrill Lynch & Co.
Downloads 638 (41,899)

Abstract:

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