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Publications by LORENZO TORRICELLI

Target Volatility Option Pricing

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2012English

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Option Pricing Applications of Quadratic Volatility Models

Journal of Mathematical Finance
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Two Stochastic Volatility Processes - American Option Pricing

SSRN Electronic Journal
2011English

Stochastic Volatility Jump-Diffusion Model for Option Pricing

Journal of Mathematical Finance
2011English

Option Pricing Under Stochastic Volatility of Us Reits

2010English

Multivariate Option Pricing With Time Varying Volatility and Correlations

SSRN Electronic Journal
2010English

Multivariate Option Pricing With Time Varying Volatility and Correlations

SSRN Electronic Journal
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Executive Stock Option Pricing in China Under Stochastic Volatility

Journal of Futures Markets
ManagementFinanceBusinessEconomicsAccountingEconometrics
2015English

Exchange Option Pricing Under Stochastic Volatility: A Correlation Expansion

Review of Derivatives Research
EconomicsEconometricsFinance
2009English

Option Pricing in Multivariate Stochastic Volatility Models of OU Type

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2012English

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