According to our database1, Lucia Caramellino authored at least 3 papers between 2002 and 2011.
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Monte Carlo methods for pricing and hedging American options in high dimension.
Risk and Decision Analysis, 2011
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach.
Monte Carlo Meth. and Appl., 2005
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 Meth. and Appl., 2002