Carlo Sgarra

According to our database, Carlo Sgarra authored at least 6 papers between 2006 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Commodity Asian option pricing and simulation in a 4-factor model with jump clusters.

Riccardo Brignone, Luca Gonzato, Carlo Sgarra

Ann. Oper. Res., May, 2024

2023

Interest Rates Term Structure Models Driven by Hawkes Processes.

Guillaume Bernis, Matthieu Garcin, Simone Scotti, Carlo Sgarra

SIAM J. Financial Math., December, 2023

2014

Comparison Results for GARCH Processes.

Fabio Bellini, Franco Pellerey, Carlo Sgarra, Salimeh Yasaei Sekeh

J. Appl. Probab., 2014

2011

On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps.

Friedrich Hubalek, Carlo Sgarra

J. Comput. Appl. Math., 2011

2010

The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach.

Luca Vincenzo Ballestra, Carlo Sgarra

Comput. Math. Appl., 2010

2006

An exact analytical solution for discrete barrier options.

Gianluca Fusai, I. David Abrahams, Carlo Sgarra

Finance Stochastics, 2006