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~person:"van Haastrecht, Alexander"
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van Haastrecht, Alexander
Pelsser, Antoon André Jean
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Jong, Frank de
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ECONIS (ZBW)
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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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
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