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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

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

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

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

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

An explicit option-based strategy that outperforms dollar cost averaging

Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10009624518

Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets

Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; … - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 237-276

Persistent link: https://www.econbiz.de/10010393957

Selected topics in credit risk: Realistic modeling of correlations and new pricing approaches for credit products

Hüttner, Amelie Angelika - 2019

Persistent link: https://www.econbiz.de/10012108528

Using Model-Independent Lower Bounds to Improve Pricing of Asian Style Options in L evy Markets

Deelstra, Griselda - 2014

Albrecher et al. (2008) have proposed model-independent lower bounds for arithmetic Asian options. In this paper we provide an alternative and more elementary derivation of their results. We use the bounds as control variates to develop a simple Monte Carlo method for pricing contracts with...

Persistent link: https://www.econbiz.de/10013060705

A model-free approach to multivariate option pricing

Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven - In: Review of derivatives research 24 (2021) 2, pp. 135-155

Persistent link: https://www.econbiz.de/10012549100