Lorenzo Torricelli

Available identifiers

Publication	Date of Publication	Type
Convex duality in continuous option pricing models	2024-06-04	Paper
On the convolution equivalence of tempered stable distributions on the real line	2024-05-17	Paper
Tempered geometric stable distributions and processes	2023-05-25	Paper
Tempered positive Linnik processes and their representations	2022-12-19	Paper
Trade duration risk in subdiffusive financial models	2022-05-16	Paper
Additive logistic processes in option pricing	2021-11-02	Paper
Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure	2021-01-15	Paper
An Analytical Valuation Framework for Financial Assets with Trading Suspensions	2020-07-13	Paper
Volatility Targeting Using Delayed Diffusions	2018-12-18	Paper
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes	2016-09-19	Paper
PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS	2013-04-22	Paper
TARGET VOLATILITY OPTION PRICING	2012-04-24	Paper
On the convolution equivalence of tempered stable distributions on the real line	N/A	Paper

This page was built for person: Lorenzo Torricelli