4 citations · 5 across the 2 of their papers we have counts for
2 papers
q-fin.CP2014★ 1 cited
Efficient tree methods for pricing digital barrier options
Elisa Appolloni, Andrea Ligori
We propose an efficient lattice procedure which permits to obtain European and American option prices under the Black and Scholes model for digital options with barrier features. N…
q-fin.CP2013★ 4 cited
A robust tree method for pricing American options with CIR stochastic interest rate
Elisa Appolloni, Lucia Caramellino, Antonino Zanette
We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restric…