Marcellino Gaudenzi

Publication Activity (10 Years)

Years Active: 2008-2022
Publications (10 Years): 2

Top Topics

Black Scholes Model

Investment Strategies

Top Venues

SIAM J. Financial Math.

Comput. Manag. Sci.

Publications

Michel Vellekoop, Marcellino Gaudenzi
Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices. SIAM J. Financial Math. 13 (2) (2022)
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)
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)