Implementing Models in Quantitative Finance: Methods and Cases

By Gianluca Fusai, Andrea Roncoroni. 2008

133 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/c050dbcf7aad31f0fab1e2eed89ddcf1978d446a

Citations in the corpus

• A General Closed-Form Spread Option Pricing Formula (2013, unknown): “For an example of investment valuation using spark spread options, see Fusai and Roncoroni (2008) and Luciano (2008).”
• Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets (2008, unknown): “The result stated in proposition 4 can be extended as follows: Proposition 6 Under spot price dynamics (14), the moment generating function of the pair Sn ; Pn j=0 jSj given the information available at time 0 is: v 0;x (n; ; ; ) = e 0 ( ; ; )x Pn 1 j=0 B j ( ; j+1( ; ; ); (19) where the function j ”