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ORCIDIvar Massabò
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Journal Articles
- 2023
[j7]Massimo Costabile, Ivar Massabò, Emilio Russo
, Alessandro Staino:
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion. Commun. Nonlinear Sci. Numer. Simul. 118: 107042 (2023)- 2021
- [j6]Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino:
A lattice approach to evaluate participating policies in a stochastic interest rate framework. J. Comput. Appl. Math. 385: 113212 (2021) - 2019
- [j5]Johnny C. Ho, Ivar Massabò, Giuseppe Paletta, Alex J. Ruiz-Torres:
A note on posterior tight worst-case bounds for longest processing time schedules. 4OR 17(1): 97-107 (2019) - 2016
- [j4]Ivar Massabò, Giuseppe Paletta, Alex J. Ruiz-Torres:
A note on longest processing time algorithms for the two uniform parallel machine makespan minimization problem. J. Sched. 19(2): 207-211 (2016) - 2014
- [j3]Massimo Costabile, Arturo Leccadito, Ivar Massabò, Emilio Russo:
Option pricing under regime-switching jump-diffusion models. J. Comput. Appl. Math. 256: 152-167 (2014) - 2011
- [j2]Massimo Costabile, Ivar Massabò, Emilio Russo:
On pricing arithmetic average reset options with multiple reset dates in a lattice framework. J. Comput. Appl. Math. 235(17): 5307-5325 (2011) - 2009
- [j1]Gaetano Iaquinta, Fabio Lamantia, Ivar Massabò, Sergio Ortobelli Lozza:
Moment based approaches to value the risk of contingent claim portfolios. Ann. Oper. Res. 165(1): 97-121 (2009)
Coauthor Index
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