1 citations · 1 across the 8 of their papers we have counts for
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q-fin.GN2018
Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
Michele Mininni, Giuseppe Orlando, Giovanni Taglialatela
In this paper we introduce the concept of standardized call function and we obtain a new approximating formula for the Black and Scholes call function through the hyperbolic tangen…
q-fin.CP2018
On The Calibration of Short-Term Interest Rates Through a CIR Model
Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo
It is well known that the Cox-Ingersoll-Ross (CIR) stochastic model to study the term structure of interest rates, as introduced in 1985, is inadequate for modelling the current ma…