Lucia Caramellino

Lucia Caramellino

Università degli Studi di Roma Tor Vergata - Rome / Italy
Natural Sciences / Mathematical Sciences
AD Scientific Index ID: 1797144
University of Rome Tor Vergata
person_outline Lucia Caramellino's MOST POPULAR ARTICLES
1-) Pricing general barrier options: a numerical approach using sharp large deviationsP Baldi, L Caramellino, MG IovinoMathematical Finance 9 (4), 293-321, 19991101999
2-) Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approachV Bally, L Caramellino, A ZanetteWalter de Gruyter 11 (2), 97-133, 2005812005
3-) Functional Kolmogorov equationsV Bally, L Caramellino, R Cont, R ContStochastic integration by parts and functional Itô calculus, 183-207, 2016542016
4-) Stochastic integration by parts and functional Itô calculusV Bally, L Caramellino, R Cont, F Utzet, J VivesBirkhäuser, 2016522016
5-) General Freidlin–Wentzell large deviations and positive diffusionsP Baldi, L CaramellinoStatistics & Probability Letters 81 (8), 1218-1229, 2011472011