Lucia Caramellino

According to our database1, Lucia Caramellino authored at least 4 papers between 2002 and 2021.

Collaborative distances:
  • Dijkstra number2 of six.
  • Erdős number3 of five.

Timeline

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PhD thesis 
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Links

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Bibliography

2021
Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model.
SIAM J. Numer. Anal., 2021

2011
Monte Carlo methods for pricing and hedging American options in high dimension.
Risk Decis. Anal., 2011

2005
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach.
Monte Carlo Methods Appl., 2005

2002
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., 2002


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