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Zanette, Antonino
75
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Online (75)
Mediatypes
Articles (Online) (24)
OpenAccess-fulltext (51)
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1
Moving average options: Machine learning and Gauss-Hermite ..:
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
European Journal of Operational Research. 303 (2022) 2 - p. 958-974 , 2022
Link:
https://doi.org/10.1016/..
?
2
Gaussian process regression for pricing variable annuities ..:
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
Decisions in Economics and Finance. 44 (2020) 1 - p. 57-72 , 2020
Link:
https://doi.org/10.1007/..
?
3
Machine learning for pricing American options in high-dimen..:
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
Quantitative Finance. 20 (2020) 4 - p. 573-591 , 2020
Link:
https://doi.org/10.1080/..
?
4
Computing credit valuation adjustment solving coupled PIDEs..:
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
Computational Management Science. 17 (2020) 2 - p. 163-178 , 2020
Link:
https://doi.org/10.1007/..
?
5
Pricing and hedging GMWB in the Heston and in the Black–Sch..:
Goudenege, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
Computational Management Science. 16 (2018) 1-2 - p. 217-248 , 2018
Link:
https://doi.org/10.1007/..
?
6
Fourier-Cosine Method for Pricing and Hedging Insurance Der..:
Goudenège, Ludovic
;
Molent, Andrea
;
Wei, Xiao
.
Theoretical Economics Letters. 8 (2018) 3 - p. 282-291 , 2018
Link:
https://doi.org/10.4236/..
?
7
Fast binomial procedures for pricing Parisian/ParAsian opti..:
Gaudenzi, Marcellino
;
Zanette, Antonino
Computational Management Science. 14 (2017) 3 - p. 313-331 , 2017
Link:
https://doi.org/10.1007/..
?
8
Pricing and hedging GLWB in the Heston and in the Black–Sch..:
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
Insurance: Mathematics and Economics. 70 (2016) - p. 38-57 , 2016
Link:
https://doi.org/10.1016/..
?
9
A robust tree method for pricing American options with the ..:
Appolloni, Elisa
;
Caramellino, Lucia
;
Zanette, Antonino
IMA Journal of Management Mathematics. 26 (2014) 4 - p. 377-401 , 2014
Link:
https://doi.org/10.1093/..
?
10
Pricing Ratchet Equity-Indexed Annuities with Early Surrend..:
Wei, Xiao
;
Gaudenzi, Marcellino
;
Zanette, Antonino
North American Actuarial Journal. 17 (2013) 3 - p. 229-252 , 2013
Link:
https://doi.org/10.1080/..
?
11
Efficient pricing of swing options in Lévy-driven models:
Kudryavtsev, Oleg
;
Zanette, Antonino
Quantitative Finance. 13 (2013) 4 - p. 627-635 , 2013
Link:
https://doi.org/10.1080/..
?
12
Pricing American barrier options with discrete dividends by..:
Gaudenzi, Marcellino
;
Zanette, Antonino
Decisions in Economics and Finance. 32 (2009) 2 - p. 129-148 , 2009
Link:
https://doi.org/10.1007/..
?
13
Evaluating fair premiums of equity-linked policies with sur..:
Costabile, Massimo
;
Gaudenzi, Marcellino
;
Massabò, Ivar
.
Insurance: Mathematics and Economics. 45 (2009) 2 - p. 286-295 , 2009
Link:
https://doi.org/10.1016/..
?
14
Pricing cliquet options by tree methods:
Gaudenzi, Marcellino
;
Zanette, Antonino
Computational Management Science. 8 (2009) 1-2 - p. 125-135 , 2009
Link:
https://doi.org/10.1007/..
?
15
New insights on testing the efficiency of methods of pricin..:
Pressacco, Flavio
;
Gaudenzi, Marcellino
;
Zanette, Antonino
.
European Journal of Operational Research. 185 (2008) 1 - p. 235-254 , 2008
Link:
https://doi.org/10.1016/..
1-15