Barbara Trivellato

Polytechnic University of Turin - Dipartimento di Matematica

Corso Duca degli Abruzzi, 24

Torino, Torino 10129

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

133

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

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 (380,085)

Abstract:

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exotic option pricing, stochastic volatility, recombining trees

2.

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 (487,725)

Abstract:

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

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, University of Insubria - Department of Economics, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 30 (522,231)

Abstract:

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