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Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
van Haastrecht, Alexander; Lord, Roger; Pelsser, Antoon; … - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 436-448
Persistent link: https://www.econbiz.de/10008332283
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Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
van Haastrecht, Alexander; Lord, Roger; Pelsser, Antoon; … - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 436-449
Persistent link: https://www.econbiz.de/10008890261
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Level-Slope-Curvature - Fact or Artefact?
Lord, Roger; Pelsser, Antoon - In: Applied mathematical finance 14 (2007) 2, pp. 105-130
Persistent link: https://www.econbiz.de/10008221850
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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
van Haastrecht, Alexander; Plat, Richard; Pelsser, Antoon - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 266-278
Persistent link: https://www.econbiz.de/10008717981
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Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
Lord, Roger - In: Applied mathematical finance 17 (2010) 4, pp. 373-377
Persistent link: https://www.econbiz.de/10008443438
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COMPLEX LOGARITHMS IN HESTON‐LIKE MODELS
Lord, Roger; Kahl, Christian - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 671-695
Persistent link: https://www.econbiz.de/10008641325
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Pricing and hedging guaranteed annuity options via static option replication
Pelsser, Antoon - In: Insurance / Mathematics & economics 33 (2003) 2, pp. 283-296
Persistent link: https://www.econbiz.de/10006885593
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On the Information in the Interest Rate Term Structure and Option Prices
de Jong, Frank; Driessen, Joost; Pelsser, Antoon - In: Review of derivatives research 7 (2004) 2, pp. 99-128
Persistent link: https://www.econbiz.de/10005927028
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Forward versus Spot Interest Rate Models of the Term Structure: An Empirical Comparison
Moraleda, Juan M.; Pelsser, Antoon - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-22
Persistent link: https://www.econbiz.de/10005960434
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THE BINOMIAL MODEL AND THE GREEKS
Pelsser, Antoon; Vorst, Ton - In: The journal of derivatives : the official publication … 1 (1994) 3, pp. 45-49
Persistent link: https://www.econbiz.de/10006002357