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math.OC2011★ 2 cited
Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem
Maria B. Chiarolla, Giorgio Ferrari
We study a stochastic, continuous time model on a finite horizon for a firm that produces a single good. We model the production capacity as an Ito diffusion controlled by a nondec…
q-fin.PR2011
Power Series Representations for European Option Prices under Stochastic Volatility Models
Lucia Caramellino, Giorgio Ferrari, Roberta Piersimoni
In the context of stochastic volatility models, we study representation formulas in terms of expectations for the power series' coefficients associated to the call price-function.…