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20122022
most citedOn the Optimal Stopping of a One-dimensional Diffusion

38 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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q-fin.CP2013★ 18 cited

A hybrid approach for the implementation of the Heston model

Maya Briani, Lucia Caramellino, Antonino Zanette

We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we s…

q-fin.CP2013★ 4 cited

A robust tree method for pricing American options with CIR stochastic interest rate

Elisa Appolloni, Lucia Caramellino, Antonino Zanette

We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restric…