Publications

2 Articles in international journals with referee

Option pricing in exponential Lévy models with transaction costs
N. Cantarutti, M. Guerra, J. M. E. Guerra and M. R. Grossinho
Journal of Computational Finance 23, Number 4, 1-31 (2020).

Multinomial method for option pricing under Variance Gamma
J. M. E. Guerra and N. Cantarutti
International Journal of Computer Mathematics 96, 1087-1106 (2019).

1 Articles in international journals without referee

Option Pricing in Exponential Lévy Models with Transaction Costs
N. Cantarutti, J. M. E. Guerra, M. Guerra and M. R. Grossinho
ECMI Newsletter 56, 79-80 (2014).

1 Chapters in international books with referee

Indifference pricing in a market with transaction costs and jumps
N. Cantarutti, J. M. E. Guerra, M. Guerra and M. R. Grossinho
Novel Methods in Computational Finance, Eds. M. Ehrhardt, M. Günther and E.J.W. ter Maten, Springer 25, 31-46 (2017).