38 citations · 108 across the 26 of their papers we have counts for
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q-fin.PR2012
Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
Maria B. Chiarolla, Tiziano De Angelis
We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in the Musiela's parametrization of the Heath-Jarrow-Morton (HJM) model for forw…
math.OC2012
Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality
M. B. Chiarolla, T. De Angelis
A finite horizon optimal stopping problem for an infinite dimensional diffusion is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert sp…