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Gianluca Fusai · Study
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Author
Gianluca Fusai
17 works
· latest 2019
· 3 institutions
cluster: provisional
ORCID 0000-0001-9215-2586
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17
Citations
999
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Most cited in this library
Implementing Models in Quantitative Finance: Methods and Cases
2007 · 137 citations
Pricing discretely monitored Asian options under Lévy processes
2008 · 136 citations
An exact analytical solution for discrete barrier options
2005 · 89 citations
A General Closed-Form Spread Option Pricing Formula
2013 · 82 citations
Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options
2015 · 77 citations
Works
17 shown
Risk management of climate impact for tourism operators: An empirical analysis on ski resorts
Tourism Management
·
2019
·
5 authors
·
Open access
35
citations
Hilbert transform, spectral filters and option pricing
Annals of Operations Research
·
2018
·
3 authors
·
Open access
29
citations
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
European Journal of Operational Research
·
2018
·
3 authors
·
Open access
32
citations
General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
Mathematics of Operations Research
·
2016
·
2 authors
·
Open access
59
citations
Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options
European Journal of Operational Research
·
2015
·
2 authors
·
Open access
77
citations
General closed-form basket option pricing bounds
Quantitative Finance
·
2015
·
4 authors
·
Open access
54
citations
A General Closed-Form Spread Option Pricing Formula
Journal of Banking & Finance
·
2013
·
2 authors
·
Open access
82
citations
Pricing Discretely Monitored Asian Options by Maturity Randomization
SIAM Journal on Financial Mathematics
·
2011
·
3 authors
·
Open access
41
citations
THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
Mathematical Finance
·
2010
·
3 authors
·
Open access
30
citations
Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets
Journal of Banking & Finance
·
2008
·
3 authors
49
citations
Pricing discretely monitored Asian options under Lévy processes
Journal of Banking & Finance
·
2008
·
2 authors
136
citations
Implementing Models in Quantitative Finance: Methods and Cases
Springer eBooks
·
2007
·
2 authors
·
book
137
citations
Analysis of quadrature methods for pricing discrete barrier options
Journal of Economic Dynamics and Control
·
2006
·
2 authors
61
citations
An exact analytical solution for discrete barrier options
Finance and Stochastics
·
2005
·
3 authors
89
citations
Pricing Asian options via Fourier and Laplace transforms
The Journal of Computational Finance
·
2004
·
1 author
35
citations
Pricing of Occupation Time Derivatives: Continuous and Discrete Monitoring
The Journal of Computational Finance
·
2001
·
2 authors
28
citations
Corridor options and arc-sine law
The Annals of Applied Probability
·
2000
·
1 author
·
Open access
25
citations