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Pelsser, Antoon André Jean
Pelsser, Antoon
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Plat, Richard
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ECONIS (ZBW)
67
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1
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:
2
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:
3
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:
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:
5
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
Saved in:
6
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
Saved in:
7
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
Haastrecht, Alexander van
;
Platt, Richard
;
Pelsser, …
-
2009
Persistent link: https://www.econbiz.de/10003877144
Saved in:
8
Pricing double barrier options : an analytical approach
Pelsser, Antoon André Jean
-
1997
Persistent link: https://www.econbiz.de/10000953522
Saved in:
9
Pricing double barrier options using analytical inversion of Laplace transforms
Pelsser, Antoon André Jean
-
1998
Persistent link: https://www.econbiz.de/10000988117
Saved in:
10
A tractable yield-curve model that guarantees positive interest rates
Pelsser, Antoon André Jean
- In:
Review of derivatives research
1
(
1996
)
3
,
pp. 269-284
Persistent link: https://www.econbiz.de/10001238752
Saved in:
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