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Lucia Caramellino

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Journal Articles

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2021
[j4]
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  dblp key:
  - journals/siamnum/BrianiCT21
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  - https://dblp.org/rec/journals/siamnum/BrianiCT21
Maya Briani, Lucia Caramellino, Giulia Terenzi:
Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model. SIAM J. Numer. Anal. 59(1): 477-502 (2021)
2011
[j3]
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  - journals/rda/CaramellinoZ11
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Lucia Caramellino, Antonino Zanette:
Monte Carlo methods for pricing and hedging American options in high dimension. Risk Decis. Anal. 2(4): 207-220 (2011)
2005
[j2]
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  - journals/mcma/BallyCZ05
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  - https://dblp.org/rec/journals/mcma/BallyCZ05
Vlad Bally, Lucia Caramellino, Antonino Zanette:
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Monte Carlo Methods Appl. 11(2): 97-133 (2005)
2002
[j1]
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  - journals/mcma/CaramellinoP02
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Lucia Caramellino, Barbara Pacchiarotti:
Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers. Monte Carlo Methods Appl. 8(3): 221-236 (2002)

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