4 papers
A GARCH model with two volatility components and two driving factors
Luca Vincenzo Ballestra, Enzo D'Innocenzo, Christian Tezza
We introduce a novel GARCH model that integrates two sources of uncertainty to better capture the rich, multi-component dynamics often observed in the volatility of financial asset…
GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance
Luca Vincenzo Ballestra, Enzo D'Innocenzo, Christian Tezza
Christoffersen, Jacobs, Ornthanalai, and Wang (2008) (CJOW) proposed an improved Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model for valuing European option…
Digital leisure and the gig economy: a two-sector model of growth
Francesco Angelini, Luca V. Ballestra, Massimiliano Castellani
The process of market digitization at the world level and the increasing and extended usage of digital devices reshaped the way consumers employ their leisure time, with the emerge…
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
Foad Shokrollahi, Davood Ahmadian, Luca Vincenzo Ballestra
The mixed fractional Brownian motion () has become quite popular in finance, since it allows one to model long-range dependence and self-similarity while remaining, for certa…