Enrico Moretto

Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia

Piazza dell'Ateneo Nuovo 1

Milano, Milano 20126

Italy

http://https://www.unimib.it/enrico-moretto

Università di Milano-Bicocca

Piazza dell'Ateneo Nuovo 1

Milano, MI 20126

Italy

http://https://www.unimib.it/enrico-moretto

CNR - IMATI

via Bassini 15

Milano, 20133

Italy

University of Insubria - Department of Economics

Via Ravasi 2

Varese, 21100

Italy

SCHOLARLY PAPERS

8

DOWNLOADS

467

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (8)

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
Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 93 (471,142)

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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
Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia and University of Parma - Dipartimento di Economia
Downloads 71 (552,854)

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lease, asset risk, option pricing theory

3.

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, Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 62 (593,118)

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

4.

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, Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 56 (623,391)

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

5.

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
Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia and Stockholm School of Economics
Downloads 52 (644,986)

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Acquisitions and mergers, Exchange ratio determination

6.

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
Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia
Downloads 50 (656,132)

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Net present value, optimal stopping time

7.

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 Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia
Downloads 49 (661,773)

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

8.

Dynamical Analysis of Evolutionary Transition Toward Sustainable Technologies

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 510
Number of pages: 53 Posted: 02 Feb 2023
Department of Statistics and Quantitative Methods University of Milano-Bicocca, Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS)Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and Dipartimento di Economia, Metodi Quantitativi e Strategie di Impresa - Università di Milano-Bicocca, Milano, Italia
Downloads 34 (761,146)

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