Pierangelo Ciurlia

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The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into account the real estate market sensitivity to the interest(More)
We present three approaches to value American continuous-installment calls and puts and compare their computational precision. In an American continuous-installment option, the premium is paid continuously instead of up-front. At or before maturity, the holder may terminate payments by either exercising the option or stopping the option contract. Under the(More)
For its theoretical interest and strong impact on financial markets, option valuation is considered one of the cornerstones of contemporary mathematical finance. This paper specifically studies the valuation of exotic options with digital payoff and flexible payment plan. By means of the Incomplete Fourier Transform, the pricing problem is solved in order(More)
The solution of a multistage stochastic programming problem needs a suitable representation of uncertainty which may be obtained through a satisfactory scenario tree construction. Unfortunately there is a trade-off between the level of accuracy in the description of the stochastic component and the computational tractability of the resulting scenario-based(More)
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