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An accurate analytical approximation for the price of a European-style arithmetic Asian option
Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan - 2003
Persistent link: https://www.econbiz.de/10001769796
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Bounds for present value functions with stochastic interest rates and stochastic volatility
De Schepper, Ann; Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - 2002
Persistent link: https://www.econbiz.de/10001655514
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On the distribution of cash flows using Esscher transforms
Vyncke, David; Goovaerts, Marc J.; De Schepper, Ann; … - In: The journal of risk and insurance : the journal of the … 70 (2003) 3, pp. 563-575
Persistent link: https://www.econbiz.de/10001787185
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Static hedging of Asian options under Lévy models : the comonotonicity approach
Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - 2003
Persistent link: https://www.econbiz.de/10001938553
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Pricing exotic options under local volatility
Decamps, Marc; Goovaerts, Marc J.; De Schepper, Ann - In: Tijdschrift voor economie en management 50 (2005) 1, pp. 49-67
Persistent link: https://www.econbiz.de/10002749078
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Static hedging of Asian options under Lévy models
Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - In: The journal of derivatives : the official publication … 12 (2004) 3, pp. 63-72
Persistent link: https://www.econbiz.de/10002672510
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Transform analysis and asset pricing for diffusion processes : a recursive approach
Goovaerts, Marc J.; Laeven, Roger; Shang, Zhaoning - In: The journal of computational finance 16 (2012/13) 1, pp. 47-81
Persistent link: https://www.econbiz.de/10009631863
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A recursive approach to mortality-linked derivative pricing
Shang, Zhaoning; Goovaerts, Marc J.; Dhaene, Jan - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 240-248
Persistent link: https://www.econbiz.de/10009242028