Enrico Moretto

University of Insubria - Department of Economics

Via Ravasi 2

Varese, 21100

Italy

CNR - IMATI

via Bassini 15

Milano, 20133

Italy

SCHOLARLY PAPERS

7

DOWNLOADS

252

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

Derivative Evaluation Using Recombining Trees Under Stochastic Volatility

Published in: Advances and Applications in Statistical Sciences, Volume 1, Issue 2, February 2010, pp. 453-480
Number of pages: 24 Posted: 21 Apr 2013
Enrico Moretto, Sara Pasquali and Barbara Trivellato
University of Insubria - Department of Economics, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 66 (381,580)

Abstract:

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exotic option pricing, stochastic volatility, recombining trees

2.

Pricing and Net Profit of Operating Lease

Managerial Finance - Volume 35, Issue 10, 2009, pp. 828-840
Number of pages: 19 Posted: 05 May 2013
Enrico Moretto and Giulio Tagliavini
University of Insubria - Department of Economics and University of Parma - Dipartimento di Economia
Downloads 58 (407,172)

Abstract:

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lease, asset risk, option pricing theory

3.

Exact Pricing with Stochastic Volatility and Jumps

International Journal of Theoretical and Applied Finance, Vol. 13, No. 6, 2010
Number of pages: 25 Posted: 04 Oct 2014 Last Revised: 11 Oct 2014
Independent, University of Insubria - Department of Economics, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 37 (489,455)

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Monte Carlo simulation, derivative valuation, stochastic volatility jump-diffusion model

4.

Exact and Approximated Option Pricing in a Stochastic Volatility Jump-Diffusion Model

M. Corazza et al. (eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance 2010, pp 133-142
Number of pages: 10 Posted: 11 Jul 2014
Independent, University of Insubria - Department of Economics, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 30 (524,112)

Abstract:

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stochastic volatility jump-diffusion models, barrier option pricing, rejection sampling

5.

Exploiting Default Probabilities in a Structural Model with Nonconstant Barrier

Applied Financial Economics, Vol. 22, No. 8, 2012
Number of pages: 26 Posted: 31 Jan 2014
Arianna Agosto and Enrico Moretto
University of Bologna - Department of Statistics and University of Insubria - Department of Economics
Downloads 27 (540,891)

Abstract:

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default structural models, default implied probability, nonconstant barrier options, KMV model

6.

Exchange Ratio Determination in a Market Equilibrium

Managerial Finance, volume 34, number 4, 2008, pp. 262-270
Number of pages: 15 Posted: 05 May 2013
Enrico Moretto and Stefano Rossi
University of Insubria - Department of Economics and Stockholm School of Economics
Downloads 24 (559,319)

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Acquisitions and mergers, Exchange ratio determination

7.

Flessibilità Nella Valutazione Di Investimenti E Scomposizione Di Indici Globali (Flexibility in Evaluating Investment Projects and Net Present Value Decomposition)

Analisi Finanziaria, 2008
Number of pages: 7 Posted: 15 Sep 2017
Enrico Moretto
University of Insubria - Department of Economics
Downloads 10 (654,022)

Abstract:

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Net present value, optimal stopping time