Details about Massimo Costabile

Access statistics for papers by Massimo Costabile.

Last updated 2014-09-15. Update your information in the RePEc Author Service.

Short-id: pco374

Journal Articles

2014

1. A reduced lattice model for option pricing under regime-switching
   Review of Quantitative Finance and Accounting, 2014, 42, (4), 667-690 View citations (19)

2013

2. A Path-Independent Humped Volatility Model for Option Pricing
   Applied Mathematical Finance, 2013, 20, (3), 191-210
3. Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
   Insurance: Mathematics and Economics, 2013, 53, (3), 597-600 View citations (5)

2011

4. A binomial approximation for two-state Markovian HJM models
   Review of Derivatives Research, 2011, 14, (1), 37-65 View citations (1)

2010

5. A binomial model for pricing US-style average options with reset features
   International Journal of Financial Markets and Derivatives, 2010, 1, (3), 258-273 View citations (1)

2009

6. Computationally simple lattice methods for option and bond pricing
   Decisions in Economics and Finance, 2009, 32, (2), 161-181
7. Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
   Insurance: Mathematics and Economics, 2009, 45, (2), 286-295 View citations (5)

2008

8. A binomial model for valuing equity-linked policies embedding surrender options
   Insurance: Mathematics and Economics, 2008, 42, (3), 873-886 View citations (11)

2006

9. An adjusted binomial model for pricing Asian options
   Review of Quantitative Finance and Accounting, 2006, 27, (3), 285-296 View citations (7)
10. On pricing lookback options under the CEV process
    Decisions in Economics and Finance, 2006, 29, (2), 139-153 View citations (2)

2001

11. notes and comments: A discrete-time algorithmfor pricing double barrier options
    Decisions in Economics and Finance, 2001, 24, (1), 49-59