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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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2
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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3
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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4
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
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5
Observational Equivalence of Discrete String Models and Market Models
Kerkhof, Jeroen
;
Pelsser, Antoon
- In:
The journal of derivatives : the official publication …
10
(
2002
)
1
,
pp. 55-61
Persistent link: https://www.econbiz.de/10005940819
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6
Risk-Managing Bermudan Swaptions in a LIBOR Model
Pietersz, Raoul
;
Pelsser, Antoon
- In:
The journal of derivatives : the official publication …
11
(
2004
)
3
,
pp. 51-62
Persistent link: https://www.econbiz.de/10005928609
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7
Analytical approximations for prices of swap rate dependent embedded options in insurance products
Plat, Richard
;
Pelsser, Antoon
- In:
Insurance / Mathematics & economics
44
(
2009
)
1
,
pp. 124-134
Persistent link: https://www.econbiz.de/10008212891
Saved in:
8
Pricing double barrier options using Laplace transforms
Pelsser, Antoon
- In:
Finance and stochastics
4
(
2000
)
1
,
pp. 95-104
Persistent link: https://www.econbiz.de/10008217588
Saved in:
9
On the Applicability of the Wang Transform for Pricing Financial Risks
Pelsser, Antoon
- In:
Astin bulletin : the journal of the International …
38
(
2008
)
1
,
pp. 171-182
Persistent link: https://www.econbiz.de/10008221049
Saved in:
10
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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