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Pricing and hedging guaranteed annuity options via static option replication

Pelsser, Antoon André Jean - 2002

Persistent link: https://www.econbiz.de/10001663822

A comparison of single factor Markov-functional and multi factor market models

Pietersz, Raoul (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002700972

Risk managing Bermudan swaptions in the Libor BGM model

Pietersz, Raoul (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001902799

Risk-management Bermudan swaptions in a LIBOR model

Pietersz, Raoul; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 11 (2003) 3, pp. 51-62

Persistent link: https://www.econbiz.de/10002007139

Fast drift-approximated pricing in the BGM model

Pietersz, Raoul; Pelsser, Antoon André Jean; … - In: The journal of computational finance 8 (2004) 1, pp. 93-124

Persistent link: https://www.econbiz.de/10002390575

Analytical approximations for prices of swap rate dependent embedded options in insurance products

Plat, Richard; Pelsser, Antoon André Jean - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 124-134

Persistent link: https://www.econbiz.de/10009517653

Pricing swaptions and coupon bond options in affine term structure models

Schrager, David F.; Pelsser, Antoon André Jean - In: Mathematical finance : an international journal of … 16 (2006) 4, pp. 673-694

Persistent link: https://www.econbiz.de/10003394188

On the information in the interest rate term structure and option prices

Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: Review of derivatives research 7 (2004) 2, pp. 99-127

Persistent link: https://www.econbiz.de/10003153989

A unified market model for swaptions and constant maturity swaps

Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10012652680

A Unified Market Model for Swaptions and Constant Maturity Swaps

Tee, Chyng Wen - 2019

Internal-rate-of-return (IRR) settled swaptions are the main interest rate volatility instruments in the European interest rate markets. Industry practice is to use an approximation formula to price IRR swaptions based on Black model, which is not arbitrage-free. We formulate a unified market...

Persistent link: https://www.econbiz.de/10012864266