Lucia Caramellino

According to our database, Lucia Caramellino authored at least 5 papers between 2002 and 2025.

Collaborative distances:

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

2025

Fokker-Planck Equations on Homogeneous Lie Groups and Probabilistic Counterparts.

Lucia Caramellino, Cristian Mendico

SIAM J. Math. Anal., 2025

2021

Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model.

Maya Briani, Lucia Caramellino, Giulia Terenzi

SIAM J. Numer. Anal., 2021

2011

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

Lucia Caramellino, Antonino Zanette

Risk Decis. Anal., 2011

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

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.

Lucia Caramellino, Barbara Pacchiarotti

Monte Carlo Methods Appl., 2002