Valutazione del prezzo delle opzioni Americane: metodi probabilistici

Sabrina Mulinacci

Bollettino dell'Unione Matematica Italiana (1998)

  • Volume: 1-A, Issue: 1S, page 137-140
  • ISSN: 0392-4041

How to cite

top

Mulinacci, Sabrina. "Valutazione del prezzo delle opzioni Americane: metodi probabilistici." Bollettino dell'Unione Matematica Italiana 1-A.1S (1998): 137-140. <http://eudml.org/doc/219461>.

@article{Mulinacci1998,
author = {Mulinacci, Sabrina},
journal = {Bollettino dell'Unione Matematica Italiana},
keywords = {American options; pricing derivatives; probabilistic approach},
language = {ita},
month = {4},
number = {1S},
pages = {137-140},
publisher = {Unione Matematica Italiana},
title = {Valutazione del prezzo delle opzioni Americane: metodi probabilistici},
url = {http://eudml.org/doc/219461},
volume = {1-A},
year = {1998},
}

TY - JOUR
AU - Mulinacci, Sabrina
TI - Valutazione del prezzo delle opzioni Americane: metodi probabilistici
JO - Bollettino dell'Unione Matematica Italiana
DA - 1998/4//
PB - Unione Matematica Italiana
VL - 1-A
IS - 1S
SP - 137
EP - 140
LA - ita
KW - American options; pricing derivatives; probabilistic approach
UR - http://eudml.org/doc/219461
ER -

References

top
  1. JEANBLANC-PIQUÈ, and PONTIER, M., Optimal portfolio for a Small investor in a Market Model with discontinuous Prices, Appl. Math. Optim, 22 (1990), 287-310. Zbl0715.90014MR1068184DOI10.1007/BF01447332
  2. LAMBERTON, D. and PAGES, G., Sur Vapproximation des réeduites, Ann. Inst. Henry Poincaré, 26 (1990), 331-355. Zbl0704.60042MR1063754
  3. MULINACCI, S., An approximation of American Option prices in a jump-diffusion model, Stch. Proc. and Appl., 62 (1996), 1-17. Zbl0848.90005MR1388760DOI10.1016/0304-4149(95)00085-2
  4. MULINACCI, S. and PRATELLI, M., Functional convergence of Snell envelopes; applications to America options approximations, Apparirà su Finance and Stochastics. Zbl0904.90015

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.