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Double-sided Parisian option pricing
Anderluh, J. H. M.; Weide, Hans van der - In: Finance and stochastics 13 (2009) 2, pp. 205-238
Persistent link: https://www.econbiz.de/10003939511
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A closed form approach to the valuation and hedging of basket and spread options
Borovkova, Svetlana; Permana, Ferry J.; Weide, Hans van der - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 8-24
Persistent link: https://www.econbiz.de/10003498942
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A low-bias simulation scheme for the Sabr Stochastic Volatility model
Chen, Bin; Oosterlee, Cornelis W.; Weide, Hans van der - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10009624504
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Algorithmic counterparty credit exposure for multi-asset Bermudan options
Shen, Yanbin; Anderluh, J. H. M.; Weide, Hans van der - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011403163
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Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model
Huang, Xinzheng; Oosterlee, Cornelis W.; Weide, Hans van der - In: The journal of computational finance 11 (2007/08) 1, pp. 93-113
Persistent link: https://www.econbiz.de/10003643434