Leonardo Perotti

According to our database, Leonardo Perotti authored at least 3 papers between 2024 and 2026.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2026

Modeling and replication of the prepayment option of mortgages including behavioral uncertainty.

Leonardo Perotti, Lech A. Grzelak, Cornelis W. Oosterlee

J. Comput. Appl. Math., 2026

2025

Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces.

Nicola F. Zaugg, Leonardo Perotti, Lech A. Grzelak

SIAM J. Financial Math., 2025

2024

On pricing of discrete Asian and Lookback options under the Heston model.

Leonardo Perotti, Lech A. Grzelak

Int. J. Comput. Math., 2024