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On the Information in the Interest Rate Term Structure and Option Prices
de Jong, Frank; Driessen, Joost; Pelsser, Antoon - In: Review of derivatives research 7 (2004) 2, pp. 99-128
Persistent link: https://www.econbiz.de/10005927028
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Risk-Managing Bermudan Swaptions in a LIBOR Model
Pietersz, Raoul; Pelsser, Antoon - In: The journal of derivatives : the official publication … 11 (2004) 3, pp. 51-62
Persistent link: https://www.econbiz.de/10005928609
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Observational Equivalence of Discrete String Models and Market Models
Kerkhof, Jeroen; Pelsser, Antoon - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 55-61
Persistent link: https://www.econbiz.de/10005940819
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Forward versus Spot Interest Rate Models of the Term Structure: An Empirical Comparison
Moraleda, Juan M.; Pelsser, Antoon - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 9-22
Persistent link: https://www.econbiz.de/10005960434
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THE BINOMIAL MODEL AND THE GREEKS
Pelsser, Antoon; Vorst, Ton - In: The journal of derivatives : the official publication … 1 (1994) 3, pp. 45-49
Persistent link: https://www.econbiz.de/10006002357
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Pricing and hedging guaranteed annuity options via static option replication
Pelsser, Antoon - In: Insurance / Mathematics & economics 33 (2003) 2, pp. 283-296
Persistent link: https://www.econbiz.de/10006885593
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Analytical approximations for prices of swap rate dependent embedded options in insurance products
Plat, Richard; Pelsser, Antoon - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 124-134
Persistent link: https://www.econbiz.de/10008212891
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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/10008332283
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A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul; Pelsser, Antoon - In: Review of derivatives research 13 (2010) 3, pp. 245-273
Persistent link: https://www.econbiz.de/10008638175
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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
van Haastrecht, Alexander; Plat, Richard; Pelsser, Antoon - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 266-278
Persistent link: https://www.econbiz.de/10008717981