Antonino Zanette

Available identifiers

zbMath Open zanette.antoninoMaRDI QIDQ545526

List of research outcomes

Publication	Date of Publication	Type
A hybrid approach for the implementation of the Heston model	2022-11-09	Paper
Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem	2022-07-22	Paper
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate	2021-08-10	Paper
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models	2021-06-02	Paper
Computing credit valuation adjustment solving coupled PIDEs in the Bates model	2021-02-02	Paper
NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS	2020-01-02	Paper
A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model	2019-06-18	Paper
Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model	2019-05-15	Paper
Monte Carlo methods for pricing and hedging American options in high dimension	2019-03-12	Paper
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models	2019-02-18	Paper
Fast binomial procedures for pricing Parisian/ParAsian options	2018-10-10	Paper
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models	2016-12-13	Paper
THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS	2014-11-12	Paper
The singular points binominal method for pricing American path-dependent options	2014-04-23	Paper
Efficient pricing of swing options in Lévy-driven models	2014-02-20	Paper
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model	2012-02-10	Paper
Pricing cliquet options by tree methods	2011-06-22	Paper
Pricing American barrier options with discrete dividends by binomial trees	2009-11-16	Paper
A moments and strike matching binomial algorithm for pricing American put options	2008-09-04	Paper
New insights on testing the efficiency of methods of pricing and hedging American options	2007-10-18	Paper
A mixed PDE-Monte Carlo approach for pricing credit default index swaptions	2007-05-24	Paper
Parabolic ADI Methods for Pricing American Options on Two Stocks	2005-11-11	Paper
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach	2005-09-12	Paper
ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING	2005-03-07	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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