Alessandra Cretarola

University of Perugia - Dipartimento di Matematica e Informatica

Via Vanvitelli 1

Perugia, 06123

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

489

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

A Confidence-Based Model for Asset and Derivative Prices in the Bitcoin Market

An updated version of this paper is published under the new title "Market attention and Bitcoin price modeling: theory, estimation and option pricing" in Cretarola, A., Figà-Talamanca, G. & Patacca, M. Decisions in Economics and Finance (2019).
Number of pages: 24 Posted: 01 Feb 2017 Last Revised: 19 Sep 2019
Alessandra Cretarola and Gianna Figà-Talamanca
University of Perugia - Dipartimento di Matematica e Informatica and University of Perugia - Department of Economics
Downloads 263 (169,838)
Citation 4

Abstract:

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BitCoin, Sentiment, Equivalent martingale measure, Option Pricing

2.

A Sentiment-Based Model for the Bitcoin: Theory, Estimation and Option Pricing

A revised version of this paper is published under the new title "Market attention and Bitcoin price modeling: theory, estimation and option pricing" in Cretarola, A., Figà-Talamanca, G. & Patacca, M. Decisions in Economics and Finance (2019).
Number of pages: 39 Posted: 27 Sep 2017 Last Revised: 14 Nov 2022
Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca
University of Perugia - Dipartimento di Matematica e Informatica, University of Perugia - Department of Economics and University of Verona - Department of Economics
Downloads 194 (226,315)
Citation 5

Abstract:

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BitCoin, Sentiment, Stochastic Models, Equivalent Martingale Measure, Option Pricing, Likelihood

3.

Indifference Pricing of Pure Endowments Via BSDEs under Partial Information

Number of pages: 33 Posted: 29 Jan 2019
Claudia Ceci, Katia Colaneri and Alessandra Cretarola
affiliation not provided to SSRN, University of Rome Tor Vergata, Department of Economics and Finance and University of Perugia - Dipartimento di Matematica e Informatica
Downloads 32 (644,394)
Citation 2

Abstract:

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pure endowment, partial information, backward stochastic differential equations, indifference pricing