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cond-mat.dis-nn2003
Weak vs. Strong Correlations: Bid-Ask Spreads for Weather-Contingent Options
Rene' Carmona, Dario Villani
We price weather-contingent options by use of Monte Carlo simulations. After calibrating the models to fit quoted prices, we analyze bid-ask spreads in terms of correlations across…
cond-mat.dis-nn2003
Frequency content and autocorrelation function of noisy periodic signals
D. Villani, R. M. Ghigliazza, R. Carmona
We extract the frequency content of a noisy signal by use of Discrete Fourier Transform. Our analysis overcomes the limitations imposed by incommensurate lattices. After computing…