Fernanda D'Ippoliti

Independent

SCHOLARLY PAPERS

2

DOWNLOADS

67

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

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
Fernanda D'Ippoliti, Enrico Moretto, Sara Pasquali and Barbara Trivellato
Independent, University of Insubria - Department of Economics, CNR-IMATI and Polytechnic University of Turin - Dipartimento di Matematica
Downloads 37 (489,455)

Abstract:

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

2.

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
Fernanda D'Ippoliti, Enrico Moretto, Sara Pasquali and Barbara Trivellato
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