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)

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)

Monte Carlo methods for pricing and hedging American options in high dimension. - Lucia Caramellino; Antonino Zanette (Risk Decis. Anal., 2011)

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)

Fokker-Planck Equations on Homogeneous Lie Groups and Probabilistic Counterparts. - Lucia Caramellino; Cristian Mendico (SIAM J. Math. Anal., 2025)