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R
Riccardo Brignone
university of pavia
6
H指数
27
论文数
120
被引数
0
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8
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发表时间
IF
被引数
Full calibration, fast simulation, and exotic options pricing under the Ornstein–Uhlenbeck driven stochastic volatility model
奥恩斯坦-乌伦贝克驱动的随机波动率模型下的完全校准、快速模拟和奇异期权定价
European Journal of Operational Research
IF
6
2026-08-10
0
OA
AI
Riccardo Brignone; Carlo Sgarra
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Econometric analysis of crude oil price dynamics using time series of option prices
Annals of Operations Research
IF
4.5
2026-01-21
0
OA
AI
Riccardo Brignone; Luca Gonzato
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Nested-conditional factorization approach to Asian options pricing
亚洲期权定价的嵌套条件分解方法
Journal of Computational and Applied Mathematics
IF
2.6
2025-12-01
0
OA
AI
Brignone, Riccardo
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Enhancing the COS method with machine learning
International Journal of Computer Mathematics
IF
1.3
2025-10-01
0
PRE
AI
Brignone, Riccardo; Stier, Hauke; Junike, Gero
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Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
基于条件傅里叶-余弦方法的随机波动率模型精确模拟
European Journal of Operational Research
IF
6
2025-09-13
0
OA
AI
Riccardo Brignone; Gero Junike
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EXACT SIMULATION OF THE MULTIFACTOR ORNSTEIN--UHLENBECK DRIVEN STOCHASTIC VOLATILITY MODEL
SIAM JOURNAL ON SCIENTIFIC COMPUTING
IF
2.6
2024-05-02
0
PRE
AI
Brignone, Riccardo
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Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
JOURNAL OF BANKING & FINANCE
IF
3.8
2023-03-01
4
OA
AI
Brignone, Riccardo; Gonzato, Luca; Luetkebohmert, Eva
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Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
ANNALS OF OPERATIONS RESEARCH
IF
4.5
2023-01-07
7
OA
AI
Brignone, Riccardo; Gonzato, Luca; Sgarra, Carlo
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研究方向
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合作学者
合作期刊
C
Carlo Sgarra
H 指数: 16 · 论文数: 105
G
Gero Junike
H 指数: 5 · 论文数: 31
L
Luca Gonzato
H 指数: 3 · 论文数: 16
H
Hauke Stier
H 指数: 1 · 论文数: 9
H 指数: 0 · 论文数: 49
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