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Lucia Caramellino
Publication Activity (10 Years)
Years Active: 2002-2021
Publications (10 Years): 1
Top Topics
Convergence Rate
Statistical Model
Steady State
Markov Processes
Top Venues
SIAM J. Numer. Anal.
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Publications
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Maya Briani
,
Lucia Caramellino
,
Giulia Terenzi
Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model.
SIAM J. Numer. Anal.
59 (1) (2021)
Lucia Caramellino
,
Antonino Zanette
Monte Carlo methods for pricing and hedging American options in high dimension.
Risk Decis. Anal.
2 (4) (2011)
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)
Lucia Caramellino
,
Barbara Pacchiarotti
Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers.
Monte Carlo Methods Appl.
8 (3) (2002)