Massimo Costabile

According to our database, Massimo Costabile authored at least 5 papers between 2011 and 2023.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2023

Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint.

Alessandro Staino, Emilio Russo, Massimo Costabile, Arturo Leccadito

Comput. Manag. Sci., December, 2023

Lattice-based model for pricing contingent claims under mixed fractional Brownian motion.

Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino

Commun. Nonlinear Sci. Numer. Simul., April, 2023

2021

A lattice approach to evaluate participating policies in a stochastic interest rate framework.

Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino

J. Comput. Appl. Math., 2021

2014

Option pricing under regime-switching jump-diffusion models.

Massimo Costabile, Arturo Leccadito, Ivar Massabò, Emilio Russo

J. Comput. Appl. Math., 2014

2011

On pricing arithmetic average reset options with multiple reset dates in a lattice framework.

Massimo Costabile, Ivar Massabò, Emilio Russo

J. Comput. Appl. Math., 2011