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Giovanni Petrella, Ph.D.

Affiliations: 
2003 Columbia University, New York, NY 
Area:
Operations Research
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"Giovanni Petrella"
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Steven Kou grad student 2003 Columbia
 (Option pricing via Laplace transforms.)

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Publications

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Kou S, Petrella G, Wang H. (2005) Pricing Path-Dependent Options with Jump Risk via Laplace Transforms The Kyoto Economic Review. 74: 1-23
Petrella G, Kou S. (2004) Numerical pricing of discrete barrier and lookback options via Laplace transforms Journal of Computational Finance. 8: 1-37
Petrella G. (2004) An extension of the Euler Laplace transform inversion algorithm with applications in option pricing Operations Research Letters. 32: 380-389
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