Antonino Zanette

Publication Activity (10 Years)

Years Active: 2002-2022
Publications (10 Years): 4

Top Topics

Decision Processes

Top Venues

Comput. Manag. Sci.

Eur. J. Oper. Res.

Publications

Ludovic Goudenège, Andrea Molent, Antonino Zanette
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. Eur. J. Oper. Res. 303 (2) (2022)
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Computing credit valuation adjustment solving coupled PIDEs in the Bates model. Comput. Manag. Sci. 17 (2) (2020)
Ludovic Goudenège, Andrea Molent, Antonino Zanette
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Comput. Manag. Sci. 16 (1-2) (2019)
Marcellino Gaudenzi, Antonino Zanette
Fast binomial procedures for pricing Parisian/ParAsian options. Comput. Manag. Sci. 14 (3) (2017)
Marcellino Gaudenzi, Antonino Zanette
Pricing cliquet options by tree methods. Comput. Manag. Sci. 8 (1-2) (2011)
Lucia Caramellino, Antonino Zanette
Monte Carlo methods for pricing and hedging American options in high dimension. Risk Decis. Anal. 2 (4) (2011)
Agnès Sulem, Antonino Zanette
Premia: A Numerical Platform for Pricing Financial Derivatives. ERCIM News 2009 (78) (2009)
Flavio Pressacco, Marcellino Gaudenzi, Antonino Zanette, Laura Ziani
New insights on testing the efficiency of methods of pricing and hedging American options. Eur. J. Oper. Res. 185 (1) (2008)
Vlad Bally, Lucia Caramellino, Antonino Zanette
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Monte Carlo Methods Appl. 11 (2) (2005)
Stéphane Villeneuve, Antonino Zanette
Parabolic ADI Methods for Pricing America Options on Two Stocks. Math. Oper. Res. 27 (1) (2002)