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Università della Svizzera italiana

Semi-parametric estimation of American option prices

Ronchetti, Diego ; Gagliardini, Patrick (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO007.

An American option provides the right to perform a specified financial transaction (sell, buy, exchange) on or before the contract maturity. Many different contracts traded on centralized and OTC markets are of this kind. In particular, a plain vanilla American option is a contract between two parties concerning the possibility of selling or buying a reference asset (underlying) at a specified...

Università della Svizzera italiana

Constrained nonparametric dependence with application in finance

Gagliardini, Patrick ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003ECO002.

The developments of financial theory in the last decades have shown that one of the most fundamental topics in Finance is the specification of dependence between different risk variables. Empirical evidence on financial time series (such as returns, interest rates, or exchange rates) as well as recent developments in risk management (such as the analysis of dependence between default risks of...

2 results 1