An exact analytical solution for discrete barrier options. - Gianluca Fusai; I. David Abrahams; Carlo Sgarra (Finance Stochastics, 2006)

The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach. - Luca Vincenzo Ballestra; Carlo Sgarra (Comput. Math. Appl., 2010)

On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps. - Friedrich Hubalek; Carlo Sgarra (J. Comput. Appl. Math., 2011)

Comparison Results for GARCH Processes. - Fabio Bellini; Franco Pellerey; Carlo Sgarra; Salimeh Yasaei Sekeh (J. Appl. Probab., 2014)

Interest Rates Term Structure Models Driven by Hawkes Processes. - Guillaume Bernis; Matthieu Garcin; Simone Scotti; Carlo Sgarra (SIAM J. Financial Math., 2023)

Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. - Riccardo Brignone; Luca Gonzato; Carlo Sgarra (Ann. Oper. Res., 2024)