Similar Search Results

Yield option pricing in the generalized Cox-Ingersoll-Ross model

Deelstra, Griselda - In: Finance : revue de l'Association Française de Finance 20 (1999) 2, pp. 169-183

Persistent link: https://www.econbiz.de/10001544353

Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps

Deelstra, Griselda; Kozpınar, Sinem; Simon, Matthieu - In: Applied Stochastic Models in Business and Industry 34 (2018) 6, pp. 782-802

Persistent link: https://www.econbiz.de/10012272405

Risk management of a bond portfolio using options

Annaert, Jan; Deelstra, Griselda; Heyman, Dries; … - 2007

Persistent link: https://www.econbiz.de/10003476828

Bounds for right tails of deterministic and stochastic sums of random variables

Darkiewicz, Grzegorz; Deelstra, Griselda; Dhaene, Jan; … - In: The journal of risk and insurance : the journal of the … 76 (2009) 4, pp. 847-866

We investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of nonindependent random variables. The bounds are derived using the concepts of comonotonicity, convex order, and conditioning. The performance of the presented approximations is...

Persistent link: https://www.econbiz.de/10003916505

Vanna-Volga methods applied to FX derivatives : from theory to market practice

Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; … - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1293-1324

Persistent link: https://www.econbiz.de/10008906158

Minimizing the risk of a financial product using a put option

Deelstra, Griselda; Vanmaele, Michèle; Vyncke, David - In: The journal of risk and insurance : the journal of the … 77 (2010) 4, pp. 767-800

Persistent link: https://www.econbiz.de/10008798298

An overview of comonotonicity and its applications in finance and insurance

Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle - In: Advanced mathematical methods for finance, (pp. 155-179). 2011

Persistent link: https://www.econbiz.de/10008991312

Optimal funding of defined benefit pension plans

Hainaut, Donatien; Deelstra, Griselda - In: Journal of pension economics and finance 10 (2011) 1, pp. 31-52

Persistent link: https://www.econbiz.de/10009007169

On an optimization problem related to static super-replicating strategies

Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; … - 2014

Persistent link: https://www.econbiz.de/10011418704

Pricing variable annuity guarantees in a local volatility framework

Deelstra, Griselda; Rayée, Grégory - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 650-663

Persistent link: https://www.econbiz.de/10010227910