Lucia Caramellino
Lucia Caramellino
Dipartimento di Matematica
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Pricing general barrier options: a numerical approach using sharp large deviations
P Baldi, L Caramellino, MG Iovino
Mathematical Finance 9 (4), 293-321, 1999
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
V Bally, L Caramellino, A Zanette
Walter de Gruyter 11 (2), 97-133, 2005
Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
P Baldi, L Caramellino
Annals of Applied Probability 12 (3), 1071-1095, 2002
On the distances between probability density functions
V Bally, L Caramellino
Electronic Journal of Probability 19, 2014
A hybrid approach for the implementation of the Heston model
M Briani, L Caramellino, A Zanette
IMA Journal of Management Mathematics 28 (4), 467-500, 2017
General Freidlin–Wentzell large deviations and positive diffusions
P Baldi, L Caramellino
Statistics & probability letters 81 (8), 1218-1229, 2011
Riesz transform and integration by parts formulas for random variables
V Bally, L Caramellino
Stochastic processes and their applications 121 (6), 1332-1355, 2011
A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
E Appolloni, L Caramellino, A Zanette
IMA Journal of Management Mathematics 26 (4), 377-401, 2015
Stochastic integration by parts and functional Itô calculus
V Bally, L Caramellino, R Cont, F Utzet, J Vives
Birkhäuser, 2016
Convergence and regularity of probability laws by using an interpolation method
V Bally, L Caramellino
The Annals of Probability 45 (2), 1110-1159, 2017
A hybrid tree/finite-difference approach for Heston–Hull–White-type models
M Briani, L Caramellino, A Zanette
Journal of Computational Finance 21 (3), 2017
Asymptotic development for the CLT in total variation distance
V Bally, L Caramellino
Bernoulli 22 (4), 2442-2485, 2016
Positivity and lower bounds for the density of Wiener functionals
V Bally, L Caramellino
Potential Analysis 39 (2), 141-168, 2013
Strassen’s law of the iterated logarithm for diffusion processes for small time
L Caramellino
Stochastic processes and their applications 74 (1), 1-19, 1998
Dependence and aging properties of lifetimes with Schur-constant survival functions
L Caramellino, F Spizzichino
Cambridge University Press 8, 103-111, 1994
Pricing complex barrier options with general features using sharp large deviation estimates
P Baldi, L Caramellino, MG Iovino
Monte-Carlo and Quasi-Monte Carlo Methods 1998, 149-162, 2000
WBF property and stochastical monotonicity of the Markov process associated to Schur-constant survivial functions
L Caramellino, F Spizzichino
journal of multivariate analysis 56 (1), 153-163, 1996
Non universality for the variance of the number of real roots of random trigonometric polynomials
V Bally, L Caramellino, G Poly
Probability Theory and Related Fields 174 (3), 887-927, 2019
Monte Carlo methods for pricing and hedging American options in high dimension
L Caramellino, A Zanette
Risk and Decision Analysis 2 (4), 207-220, 2011
Some remarks on a Markov chain modelling cooperative biological systems
M Abundo, L Caramellino
Open Systems & Information Dynamics 3 (3), 325-343, 1995
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