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2020 – today
- 2022
[j9]Ludovic Goudenège
, Andrea Molent, Antonino Zanette:
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. Eur. J. Oper. Res. 303(2): 958-974 (2022)- 2020
- [j8]Ludovic Goudenège, Andrea Molent, Antonino Zanette:
Computing credit valuation adjustment solving coupled PIDEs in the Bates model. Comput. Manag. Sci. 17(2): 163-178 (2020)
2010 – 2019
- 2019
- [j7]Ludovic Goudenège, Andrea Molent, Antonino Zanette:
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Comput. Manag. Sci. 16(1-2): 217-248 (2019) - 2017
- [j6]Marcellino Gaudenzi, Antonino Zanette:
Fast binomial procedures for pricing Parisian/ParAsian options. Comput. Manag. Sci. 14(3): 313-331 (2017) - 2011
- [j5]Marcellino Gaudenzi, Antonino Zanette:
Pricing cliquet options by tree methods. Comput. Manag. Sci. 8(1-2): 125-135 (2011) - [j4]Lucia Caramellino, Antonino Zanette:
Monte Carlo methods for pricing and hedging American options in high dimension. Risk Decis. Anal. 2(4): 207-220 (2011)
2000 – 2009
- 2009
- [i1]Agnès Sulem, Antonino Zanette:
Premia: A Numerical Platform for Pricing Financial Derivatives. ERCIM News 2009(78) (2009) - 2008
- [j3]Flavio Pressacco, Marcellino Gaudenzi, Antonino Zanette, Laura Ziani:
New insights on testing the efficiency of methods of pricing and hedging American options. Eur. J. Oper. Res. 185(1): 235-254 (2008) - 2005
- [j2]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]Stéphane Villeneuve, Antonino Zanette:
Parabolic ADI Methods for Pricing America Options on Two Stocks. Math. Oper. Res. 27(1): 121-149 (2002)
Coauthor Index
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