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Monte Carlo pricing in the Schöbel-Zhu model and its extensions
Haastrecht, Alexander van; Lord, Roger; Pelsser, Antoon … - In: The journal of computational finance 17 (2013/14) 3, pp. 57-86
Persistent link: https://www.econbiz.de/10010366279
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A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul; Pelsser, Antoon André Jean - In: Review of derivatives research 13 (2010) 3, pp. 245-272
Persistent link: https://www.econbiz.de/10008695888
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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
van Haastrecht, Alexander; Plat, Richard; Pelsser, … - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 266-277
Persistent link: https://www.econbiz.de/10008747073
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Efficient, almost exact simulation of the heston stochastic volatility model
van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10008860425
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Risk and portfolio choices in individual and collective pension plans
Jong, Frank de; Pelsser, Antoon André Jean - In: Ageing, health and pensions in Europe : an economic and …, (pp. 64-66). 2010
Persistent link: https://www.econbiz.de/10008906994
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Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: The journal of futures markets 31 (2011) 2, pp. 103-125
Persistent link: https://www.econbiz.de/10008908408
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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/10009517550
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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
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Comment on "Modeling non-monotone risk aversion using SAHARA utility functions"
Cui, Zhenyu - In: Journal of economic theory 153 (2014), pp. 703-705
Persistent link: https://www.econbiz.de/10010482391
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Evaluating the UK and Dutsch defined-benefit pension policies using the holistic balance sheet framework
Chen, Zhiqiang; Pelsser, Antoon André Jean; Ponds, Eduard - In: Insurance / Mathematics & economics 58 (2014), pp. 89-102
Persistent link: https://www.econbiz.de/10010437623