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Nicola Cantarutti

University of Udine

Udine

Italy

ISEG Lisbon School of Economics and Management,Universidade de Lisboa

Rua do Quelhas 6

LISBOA , 1200-781

Portugal

  • University of Udine

  • ISEG Lisbon School of Economics and Management,Universidade de Lisboa

SCHOLARLY PAPERS

2

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693

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Scholarly Papers (2)

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1.

Numerical Study of the Merton PIDE in Option Pricing

Number of pages: 7 Posted: 12 May 2020 Last Revised: 26 May 2020
Nicola Cantarutti
University of Udine
Downloads 385 (193,032)

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Merton model, option pricing, Lévy processes, finite difference method, PIDE

2.

Considerations on the mean-reversion time

Number of pages: 14 Posted: 23 Jun 2025
Nicola Cantarutti
University of Udine
Downloads 308 (266,292)

Abstract:

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stochastic process, mean-reversion, half-life, Ornstein-Uhlenbeck, first hitting time