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~isPartOf:"Applied economics letters"
~isPartOf:"Insurance / Mathematics & economics"
~subject:"Credit risk"
~subject:"Interest rate"
~subject:"Monte Carlo simulation"
~subject:"Portfolio-Management"
~subject:"Real options analysis"
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Option Prices with Stochastic...
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Option pricing theory
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Pelsser, Antoon André Jean
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Applied economics letters
Insurance / Mathematics & economics
International journal of theoretical and applied finance
112
The journal of computational finance
63
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European journal of operational research : EJOR
47
Finance and stochastics
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Journal of economic dynamics & control
44
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Bachelier model with stopping time and its insurance application
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
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2
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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3
Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
Nteukam T., Oberlain
;
Planchet, Frédéric
;
Thérond, …
- In:
Insurance / Mathematics & economics
48
(
2011
)
2
,
pp. 161-175
Persistent link: https://www.econbiz.de/10008989359
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4
Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun
;
Song, Renming
;
Tang, DanLing
;
Wang, Yongjin
; …
- In:
Insurance / Mathematics & economics
50
(
2012
)
2
,
pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
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5
Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Dai, Tian-Shyr
;
Yang, Sharon S.
;
Liu, Liang-Chih
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 364-379
Persistent link: https://www.econbiz.de/10011398106
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6
How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
Orozco-Garcia, Carolina
;
Schmeiser, Hato
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 77-93
Persistent link: https://www.econbiz.de/10011422877
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7
Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
Hao, Xuemiao
;
Li, Xuan
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 103-110
Persistent link: https://www.econbiz.de/10011422882
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8
Designing and pricing guarantee options in defined contribution pension plans
Consiglio, Andrea
;
Tumminello, Michele
;
Zenios, Stauros …
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 267-279
Persistent link: https://www.econbiz.de/10011428673
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9
The instantaneous return and volatility of a covered call position
Edwards, Craig Steven
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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10
Control variates and conditional Monte Carlo for basket and Asian options
Dingeç, Kemal Dinçer
;
Hörmann, Wolfgang
- In:
Insurance / Mathematics & economics
52
(
2013
)
3
,
pp. 421-434
Persistent link: https://www.econbiz.de/10009763657
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