3 papers
q-fin.CP2026
Adaptive singular-point method for pricing and hedging surrenderable equity-linked contracts
Andrea Molent, Marcellino Gaudenzi
We propose a deterministic numerical method for pricing and hedging surrenderable equity-linked life-insurance contracts with periodic premiums and fund contributions, maturity and…
q-fin.PR2018
Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences
Marcellino Gaudenzi, Michel Vellekoop
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that opti…
q-fin.CP2017
Efficient European and American option pricing under a jump-diffusion process
Marcellino Gaudenzi, Alice Spangaro, Patrizia Stucchi
When the underlying asset displays oscillations, spikes or heavy-tailed distributions, the lognormal diffusion process (for which Black and Scholes developed their momentous option…