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Publications by Luigi Sereno

The Valuation of N-Phased Investment Projects Under Jump-Diffusion Processes

SSRN Electronic Journal

English

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Structural Estimation of Jump-Diffusion Processes in Macroeconomics

SSRN Electronic Journal

English

Numerical Solution of Two Asset Jump Diffusion Models for Option Valuation

Applied Numerical Mathematics

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Applied Mathematics

Numerical Analysis

English

Application of Method of Real Options to Valuation of Investment Projects

English

Evolution of American Option Value Function on a Dividend Paying Stock Under Jump-Diffusion Processes

Bulletin of Belgorod State Technological University named after. V. G. Shukhov

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Integrals, Jump-Diffusion Processes and Monte Carlo Simulation

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Ruin Probabilities Under an Optimal Investment and Proportional Reinsurance Policy in a Jump Diffusion Risk Process

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On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes

Journal of Applied Probability

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On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes

Journal of Applied Probability

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Option Pricing Under a Double Exponential Jump Diffusion Model

SSRN Electronic Journal

English