1 citations · 1 across the 2 of their papers we have counts for
4 papers
On the relative performance of some parametric and nonparametric estimators of option prices
Carlo Marinelli, Stefano D'Addona
We examine the empirical performance of some parametric and nonparametric estimators of prices of options with a fixed time to maturity, focusing on variance-gamma and Heston model…
Nonparametric estimates of option prices via Hermite basis functions
Carlo Marinelli, Stefano d'Addona
We consider approximate pricing formulas for European options based on approximating the logarithmic return's density of the underlying by a linear combination of rescaled Hermite…
Nonparametric estimates of pricing functionals
Carlo Marinelli, Stefano d'Addona
We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during…
Multivariate heavy-tailed models for Value-at-Risk estimation
Carlo Marinelli, Stefano d'Addona, Svetlozar T. Rachev
For purposes of Value-at-Risk estimation, we consider several multivariate families of heavy-tailed distributions, which can be seen as multidimensional versions of Paretian stable…