Antonino Zanette

According to our database, Antonino Zanette authored at least 10 papers between 2002 and 2022.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2022

Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem.

Ludovic Goudenège, Andrea Molent, Antonino Zanette

Eur. J. Oper. Res., 2022

2020

Computing credit valuation adjustment solving coupled PIDEs in the Bates model.

Ludovic Goudenège, Andrea Molent, Antonino Zanette

Comput. Manag. Sci., 2020

2019

Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models.

Ludovic Goudenège, Andrea Molent, Antonino Zanette

Comput. Manag. Sci., 2019

2017

Fast binomial procedures for pricing Parisian/ParAsian options.

Marcellino Gaudenzi, Antonino Zanette

Comput. Manag. Sci., 2017

2011

Monte Carlo methods for pricing and hedging American options in high dimension.

Lucia Caramellino, Antonino Zanette

Risk Decis. Anal., 2011

Pricing cliquet options by tree methods.

Marcellino Gaudenzi, Antonino Zanette

Comput. Manag. Sci., 2011

2009

Premia: A Numerical Platform for Pricing Financial Derivatives.

Agnès Sulem, Antonino Zanette

ERCIM News, 2009

2008

New insights on testing the efficiency of methods of pricing and hedging American options.

Flavio Pressacco, Marcellino Gaudenzi, Antonino Zanette, Laura Ziani

Eur. J. Oper. Res., 2008

2005

Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach.

Vlad Bally, Lucia Caramellino, Antonino Zanette

Monte Carlo Methods Appl., 2005

2002

Parabolic ADI Methods for Pricing America Options on Two Stocks.

Stéphane Villeneuve, Antonino Zanette

Math. Oper. Res., 2002