33 citations · 135 across the 41 of their papers we have counts for
46 papers
On some semi-parametric estimates for European option prices
Carlo Marinelli
We show that an estimate by de la Peña, Ibragimov and Jordan for , with a constant and a random variable of which the mean, the variance, and $\mathbb{P}…
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…
On pointwise Malliavin differentiability of solutions to semilinear parabolic SPDEs
Carlo Marinelli
We obtain estimates on the first-order Malliavin derivative of mild solutions, evaluated at fixed points in time and space, to a class of parabolic dissipative stochastic PDEs on b…
On certain representations of pricing functionals
Carlo Marinelli
We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options w…
On the differentiability of solutions to singularly perturbed SPDEs
Carlo Marinelli
We consider semilinear stochastic evolution equations on Hilbert spaces with multiplicative Wiener noise and linear drift term of the type , with and max…
Singular perturbations and asymptotic expansions for SPDEs with an application to term structure models
Sergio Albeverio, Carlo Marinelli, Elisa Mastrogiacomo
We study the dependence of mild solutions to linear stochastic evolution equations on Hilbert space driven by Wiener noise, with drift having linear part of the type $A+\varepsilon…