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Author ID: zanette.antonino Recent zbMATH articles by "Zanette, Antonino"
Published as: Zanette, Antonino
Documents Indexed: 23 Publications since 2002
Co-Authors: 18 Co-Authors with 22 Joint Publications
289 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

18 Publications have been cited 89 times in 74 Documents Cited by Year
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Zbl 1137.91425
Bally, Vlad; Caramellino, Lucia; Zanette, Antonino
17
2005
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664
Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
9
2019
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Zbl 1466.91339
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
9
2020
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 1371.91089
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
8
2016
The singular points binomial method for pricing American path-dependent options. Zbl 1284.91571
Gaudenzi, Marcellino; Zanette, Antonino; Lepellere, Maria Antonietta
8
2010
Parabolic ADI methods for pricing American options on two stocks. Zbl 1082.60515
Villeneuve, Stephane; Zanette, Antonino
7
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
New insights on testing the efficiency of methods of pricing and hedging American options. Zbl 1137.91469
Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino; Ziani, Laura
5
2008
Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153
Gaudenzi, Marcellino; Zanette, Antonino
4
2009
A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model. Zbl 1433.91167
Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino
3
2015
Efficient pricing of swing options in Lévy-driven models. Zbl 1281.91167
Kudryavtsev, Oleg; Zanette, Antonino
3
2013
Numerical stability of a hybrid method for pricing options. Zbl 1430.91129
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino
2
2019
Adaptive finite element methods for local volatility European option pricing. Zbl 1101.91035
Ern, Alexandre; Villeneuve, Stéphane; Zanette, Antonino
2
2004
A moments and strike matching binomial algorithm for pricing American put options. Zbl 1143.91019
Jourdain, Benjamin; Zanette, Antonino
1
2008
Monte Carlo methods for pricing and hedging American options in high dimension. Zbl 1409.91273
Caramellino, Lucia; Zanette, Antonino
1
2011
Enriching the finite element method with meshfree particles in structural mechanics. Zbl 1365.74156
Zanette, A.; Ferronato, Massimiliano; Janna, C.
1
2017
Pricing cliquet options by tree methods. Zbl 1214.91133
Gaudenzi, Marcellino; Zanette, Antonino
1
2011
The binomial interpolated lattice method for step double barrier options. Zbl 1298.91153
Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino
1
2014
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Zbl 1466.91339
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
9
2020
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664
Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
9
2019
Numerical stability of a hybrid method for pricing options. Zbl 1430.91129
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino
2
2019
Enriching the finite element method with meshfree particles in structural mechanics. Zbl 1365.74156
Zanette, A.; Ferronato, Massimiliano; Janna, C.
1
2017
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 1371.91089
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
8
2016
A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model. Zbl 1433.91167
Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino
3
2015
The binomial interpolated lattice method for step double barrier options. Zbl 1298.91153
Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino
1
2014
Efficient pricing of swing options in Lévy-driven models. Zbl 1281.91167
Kudryavtsev, Oleg; Zanette, Antonino
3
2013
Monte Carlo methods for pricing and hedging American options in high dimension. Zbl 1409.91273
Caramellino, Lucia; Zanette, Antonino
1
2011
Pricing cliquet options by tree methods. Zbl 1214.91133
Gaudenzi, Marcellino; Zanette, Antonino
1
2011
The singular points binomial method for pricing American path-dependent options. Zbl 1284.91571
Gaudenzi, Marcellino; Zanette, Antonino; Lepellere, Maria Antonietta
8
2010
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
Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153
Gaudenzi, Marcellino; Zanette, Antonino
4
2009
New insights on testing the efficiency of methods of pricing and hedging American options. Zbl 1137.91469
Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino; Ziani, Laura
5
2008
A moments and strike matching binomial algorithm for pricing American put options. Zbl 1143.91019
Jourdain, Benjamin; Zanette, Antonino
1
2008
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Zbl 1137.91425
Bally, Vlad; Caramellino, Lucia; Zanette, Antonino
17
2005
Adaptive finite element methods for local volatility European option pricing. Zbl 1101.91035
Ern, Alexandre; Villeneuve, Stéphane; Zanette, Antonino
2
2004
Parabolic ADI methods for pricing American options on two stocks. Zbl 1082.60515
Villeneuve, Stephane; Zanette, Antonino
7
2002
all top 5

Cited by 133 Authors

13 Zanette, Antonino
7 Gaudenzi, Marcellino
5 Molent, Andrea
4 Goudenège, Ludovic
4 Jentzen, Arnulf
4 Kharrat, Mohamed
3 Bally, Vlad
3 Becker, Sebastian
3 Caramellino, Lucia
3 Costabile, Massimo
3 Massabó, Ivar
3 Pagès, Gilles
3 Russo, Emilio
2 Briani, Maya
2 Cheridito, Patrick
2 Khedher, Asma
2 Kudryavtsev, Oleg
2 Moenig, Thorsten
2 Printems, Jacques
2 Terenzi, Giulia
2 Vanmaele, Michèle
2 Wei, Xiao
1 Ali, Montaz M.
1 Alonso-García, Jennifer
1 Andalaft-Chacur, A.
1 Appolloni, Elisa
1 Auster, Johan
1 Barty, Kengy
1 Bauer, Daniel J.
1 Bayer, Christian
1 Beck, Christian
1 Berton, Julien
1 Braunwarth, Ramon
1 Bronstein, Anne Laure
1 Bufalo, Michele
1 Chevalier, Etienne
1 Chiu, Chun-Yuan
1 Chockalingam, Arunachalam
1 Choi, Yongho
1 Crisan, Dan O.
1 Dai, Tian-Shyr
1 Daveloose, Catherine
1 De Angelis, Paolo
1 De Rossi, Giulia
1 Deng, Shijie
1 Egloff, Daniel
1 Elbrächter, Dennis
1 Eymard, Robert
1 Fakoor, Vahid
1 Fedyaev, Igor’ Pavlovich
1 Feng, Haolin
1 Friz, Peter Karl
1 Fujiwara, Hajime
1 Gan, Guojun
1 Gao, Jin
1 García Mirantes, Andrés
1 Gassiat, Paul
1 Girardeau, Pierre
1 Gobet, Emmanuel
1 Grohs, Philipp
1 Haentjens, Tinne
1 Hsu, William Wei-Yuan
1 Hu, Ruimeng
1 Hutzenthaler, Martin
1 Hwang, Hyeongseok
1 Ikonen, Samuli
1 in ’t Hout, Karel J.
1 Jeong, Darae
1 Jerbi, Yacin
1 Jourdain, Benjamin
1 Kashtanov, Yuri N.
1 Kashtanov, Yuriĭ Nikolaevich
1 Kijima, Masaaki
1 Kim, Hongjoong
1 Kim, Junseok
1 Kolkiewicz, Adam W.
1 Korn, Ralf
1 Kudryavtsev, O. E.
1 La Bua, Gaetano
1 Lars Kirkby, J.
1 Lee, Dongsun
1 Leippold, Markus
1 Li, Minqiang
1 Li, Yanxiong
1 Lin, Fangyuan Sally
1 Lyuu, Yuh-Dauh
1 Maeder, Fabio
1 Manolarakis, Konstantinos
1 Marazzina, Daniele
1 Martire, Antonio Luciano
1 Mathys, Ludovic
1 Moon, Kyoung-Sook
1 Muroi, Yoshifumi
1 Neufeld, Ariel David
1 Nielsen, Jørgen Aase
1 Orlando, Giuseppe
1 Pigato, Paolo
1 Población, Javier
1 Portès, Jacques
1 Privault, Nicolas
...and 33 more Authors
all top 5

Cited in 39 Serials

8 Quantitative Finance
5 Computational Management Science
4 Journal of Computational and Applied Mathematics
4 Insurance Mathematics & Economics
4 International Journal of Theoretical and Applied Finance
4 Decisions in Economics and Finance
3 Monte Carlo Methods and Applications
3 North American Actuarial Journal
3 SIAM Journal on Financial Mathematics
2 Journal of Economic Dynamics & Control
2 Applied Mathematical Finance
2 Mathematical Finance
2 Scandinavian Actuarial Journal
2 ASTIN Bulletin
1 Computers & Mathematics with Applications
1 Theory of Probability and its Applications
1 Applied Mathematics and Computation
1 Revista de la Unión Matemática Argentina
1 SIAM Journal on Numerical Analysis
1 Stochastic Analysis and Applications
1 Constructive Approximation
1 European Journal of Applied Mathematics
1 Communications in Statistics. Theory and Methods
1 European Journal of Operational Research
1 Journal of Statistical Computation and Simulation
1 Stochastic Processes and their Applications
1 Vestnik St. Petersburg University. Mathematics
1 SIAM Journal on Scientific Computing
1 Turkish Journal of Mathematics
1 Boletín de la Sociedad Matemática Mexicana. Third Series
1 Bernoulli
1 Discrete Dynamics in Nature and Society
1 Methodology and Computing in Applied Probability
1 Journal of Systems Science and Complexity
1 Review of Derivatives Research
1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
1 Communications in Computational Physics
1 European Actuarial Journal
1 Palestine Journal of Mathematics

Citations by Year