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Author ID: costabile.massimo Recent zbMATH articles by "Costabile, Massimo"
Published as: Costabile, Massimo; Costabile, M.
Documents Indexed: 19 Publications since 2000
Co-Authors: 11 Co-Authors with 13 Joint Publications
113 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

17 Publications have been cited 68 times in 56 Documents Cited by Year
Option pricing under regime-switching jump-diffusion models. Zbl 1314.91206
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; Russo, Emilio
20
2014
A binomial model for valuing equity-linked policies embedding surrender options. Zbl 1141.91496
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
10
2008
A combinatorial approach for pricing Parisian options. Zbl 1156.91364
Costabile, Massimo
9
2002
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model. Zbl 1231.91167
Costabile, Massimo; Gaudenzi, Marcellino; Massabò, Ivar; Zanette, Antonino
7
2009
A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model. Zbl 1401.91121
Costabile, M.
7
2017
On pricing lookback options under the CEV process. Zbl 1160.91351
Costabile, Massimo
2
2006
Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee. Zbl 1290.91157
Costabile, M.
2
2013
A multistage stochastic programming approach for capital budgeting problems under uncertainty. Zbl 1258.91117
Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; Costabile, Massimo; Massabò, Ivar; Russo, Emilio
2
2013
On pricing contingent claims under the double Heston model. Zbl 1262.91147
Costabile, M.; Massabò, I.; Russo, E.
1
2012
A fast and accurate lattice model to evaluate options under the variance gamma process. Zbl 1410.91481
Costabile, Massimo
1
2015
On pricing arithmetic average reset options with multiple reset dates in a lattice framework. Zbl 1218.91168
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
A discrete-time algorithm for pricing double barrier options. Zbl 1168.91382
Costabile, Massimo
1
2001
Computationally simple lattice methods for option and bond pricing. Zbl 1176.91152
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar
1
2009
A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
Computing finite-time survival probabilities using multinomial approximations of risk models. Zbl 1401.91122
Costabile, M.; Massabò, I.; Russo, E.
1
2015
A shifted tree model for the efficient evaluation of options with fixed dividends. Zbl 1473.91021
Costabile, Massimo; Massabò, Ivar; Russo, Emilio
1
2018
A lattice approach to evaluate participating policies in a stochastic interest rate framework. Zbl 1460.91217
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro
1
2021
A lattice approach to evaluate participating policies in a stochastic interest rate framework. Zbl 1460.91217
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro
1
2021
A shifted tree model for the efficient evaluation of options with fixed dividends. Zbl 1473.91021
Costabile, Massimo; Massabò, Ivar; Russo, Emilio
1
2018
A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model. Zbl 1401.91121
Costabile, M.
7
2017
A fast and accurate lattice model to evaluate options under the variance gamma process. Zbl 1410.91481
Costabile, Massimo
1
2015
Computing finite-time survival probabilities using multinomial approximations of risk models. Zbl 1401.91122
Costabile, M.; Massabò, I.; Russo, E.
1
2015
Option pricing under regime-switching jump-diffusion models. Zbl 1314.91206
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; Russo, Emilio
20
2014
Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee. Zbl 1290.91157
Costabile, M.
2
2013
A multistage stochastic programming approach for capital budgeting problems under uncertainty. Zbl 1258.91117
Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; Costabile, Massimo; Massabò, Ivar; Russo, Emilio
2
2013
On pricing contingent claims under the double Heston model. Zbl 1262.91147
Costabile, M.; Massabò, I.; Russo, E.
1
2012
On pricing arithmetic average reset options with multiple reset dates in a lattice framework. Zbl 1218.91168
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model. Zbl 1231.91167
Costabile, Massimo; Gaudenzi, Marcellino; Massabò, Ivar; Zanette, Antonino
7
2009
Computationally simple lattice methods for option and bond pricing. Zbl 1176.91152
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar
1
2009
A binomial model for valuing equity-linked policies embedding surrender options. Zbl 1141.91496
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
10
2008
On pricing lookback options under the CEV process. Zbl 1160.91351
Costabile, Massimo
2
2006
A combinatorial approach for pricing Parisian options. Zbl 1156.91364
Costabile, Massimo
9
2002
A discrete-time algorithm for pricing double barrier options. Zbl 1168.91382
Costabile, Massimo
1
2001
all top 5

Cited by 111 Authors

4 Russo, Emilio
3 Costabile, Massimo
3 Massabó, Ivar
3 Tangman, Désiré Yannick
2 Chen, An
2 Chesney, Marc
2 Ching, Wai-Ki
2 Dai, Tian-Shyr
2 De Angelis, Paolo
2 Gan, Xiaoting
2 Gaudenzi, Marcellino
2 Martire, Antonio Luciano
2 Siu, Tak Kuen
2 Suchanecki, Michael
2 Thakoor, Nawdha
2 Tour, Geraldine
2 Yang, Qingqing
2 Yang, Sharon S.
2 Yin, Junfeng
2 Zanette, Antonino
2 Ziveyi, Jonathan
1 Ahmadi, Zaniar
1 Alonso-Ayuso, Antonio
1 Andreoli, Alessandro
1 Azari, Hossein
1 Ballestra, Luca Vincenzo
1 Beraldi, Patrizia
1 Briani, Maya
1 Caramellino, Lucia
1 Carvallo, Felipe
1 Chang, Shih-Chieh Bill
1 Ciancio, Claudio
1 Dang, Duy Minh
1 De Marchis, Roberto
1 De Rossi, Giulia
1 Deng, Guohe
1 Dilloo, Mehzabeen Jumanah
1 Dyer, James S.
1 Escudero, Laureano Fernando
1 Fabozzi, Frank J.
1 Ferrara, Massimiliano
1 Foroush Bastani, Ali
1 Fusai, Gianluca
1 Gan, Guojun
1 Gauthier, Laurent
1 Giacometti, Rosella
1 Gu, Jiawen
1 Guignard, Monique
1 Haghi, Majid
1 Hahn, Warren J.
1 Han, Miao
1 Han, Youngchul
1 He, Wanhua
1 He, Xinjiang
1 Hosseini, Seyed Mohammad
1 Hürlimann, Werner
1 Hwang, Ya-Wen
1 Kang, Boda
1 Kazmi, Kamran
1 Khaliq, Abdul Q. M.
1 Kim, Geonwoo
1 Labart, Céline
1 Lee, Sunju
1 Lee, Younhee
1 Lelong, Jérôme
1 Lin, Sha
1 Liu, Liang-Chih
1 Liu, Ruihua
1 Liu, Shican
1 Lyuu, Yuh-Dauh
1 Ma, Jingtang
1 Marazzina, Daniele
1 Melas, Evangelos
1 Mollapourasl, Reza
1 Muroi, Yoshifumi
1 Nielsen, Jørgen Aase
1 Pacelli, Graziella
1 Pansera, Bruno Antonio
1 Pantelous, Athanasios A.
1 Pi, Jiaxing
1 Puranmalka, Raghav
1 Qin, Bin
1 Rambeerich, Nisha
1 Russo, Vincenzo
1 Sandmann, Klaus
1 Sanfelici, Simona
1 Schlögl, Erik
1 Sesana, Debora
1 Sewell, Granville
1 Shen, Yang
1 Sherris, Michael
1 Song, Xuefeng
1 Staino, Alessandro
1 Su, Karen C.
1 Suda, Shintaro
1 Terenzi, Giulia
1 Vargiolu, Tiziano
1 Vasiljević, Nikola
1 Violi, Antonio
1 Wang, Tianyang
...and 11 more Authors

Citations by Year