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Yield option pricing in the generalized Cox-Ingersoll-Ross model
Deelstra, Griselda - In: Finance : revue de l'Association Française de Finance 20 (1999) 2, pp. 169-183
Persistent link: https://www.econbiz.de/10009918840
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Pricing of arithmetic basket options by conditioning
Deelstra, G.; Liinev, J.; Vanmaele, M. - In: Insurance / Mathematics & economics 34 (2004) 1, pp. 55-78
Persistent link: https://www.econbiz.de/10006883782
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Long-term returns in stochastic interest rate models
Deelstra, G.; Delbaen, F. - In: Insurance / Mathematics & economics 17 (1995) 2, pp. 163-170
Persistent link: https://www.econbiz.de/10006941286
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WORKSHOP - Long-Term Returns in Stochastic Interest Rate Models: Applications
Deelstra, G. - In: Astin bulletin : the journal of the International … 30 (2000) 1, pp. 123-140
Persistent link: https://www.econbiz.de/10008217770
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Static super-replicating strategies for a class of exotic options
Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M. - In: Insurance / Mathematics & economics 42 (2008) 3, pp. 1067-1085
Persistent link: https://www.econbiz.de/10008057645
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Static super-replicating strategies for a class of exotic options
Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M. - In: Insurance / Mathematics & economics 42 (2008) 3, pp. 1067-1086
Persistent link: https://www.econbiz.de/10008893122
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Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
Vanmaele, Michèle; Deelstra, Griselda; Liinev, Jan - In: Insurance / Mathematics & economics 35 (2004) 2, pp. 343-368
Persistent link: https://www.econbiz.de/10006879172
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Optimal investment strategies in the presence of a minimum guarantee
Deelstra, Griselda; Grasselli, Martino; Koehl, … - In: Insurance / Mathematics & economics 33 (2003) 1, pp. 189
Persistent link: https://www.econbiz.de/10006886811
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Bounds for the price of a European-style Asian option in a binary tree model
Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; … - In: European journal of operational research : EJOR 168 (2006) 2, pp. 322-332
Persistent link: https://www.econbiz.de/10006641229
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Optimal design of the guarantee for defined contribution funds
Deelstra, Griselda; Grasselli, Martino; Koehl, … - In: Journal of economic dynamics & control 28 (2004) 11, pp. 2239-2260
Persistent link: https://www.econbiz.de/10006755790