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Results: 42
Number of items: 42
  • van Haastrecht, A., & Pelsser, A. (2009). Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options. The Journal of Futures Markets, 2010. https://doi.org/10.1002/fut.20461
  • van Haastrecht, A., Lord, R., & Pelsser, A. (2009). Monte Carlo pricing in the Schöbel-Zhu model and its extensions. Faculteit Economie en Bedrijfskunde.
  • Plat, R., & Pelsser, A. (2009). Analytical approximations for prices of swap rate dependent embedded options in insurance products. Insurance: Mathematics & Economics, 44(1), 124-134. https://doi.org/10.1016/j.insmatheco.2008.11.003
  • van Haastrecht, A., Lord, R., Pelsser, A., & Schrager, D. (2009). Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. Insurance: Mathematics & Economics, 45(3), 436-448. https://doi.org/10.1016/j.insmatheco.2009.09.003
  • van Bragt, D., Francke, M., Kramer, B., & Pelsser, A. (2009). Risk-neutral valuation of real estate derivatives. (OFRC working paper series. Technical paper; No. 2009-02). Ortec Finance Research Center. http://www1.feb.uva.nl/pp/bin/1066fulltext.pdf
  • van Haastrecht, A., & Pelsser, A. (2009). Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility. In M. Vanmaele, G. Deelstra, A. De Schepper, J. Dhaene, & P. Van Goethem (Eds.), Proceedings of the 8th Actuarial and Financial Mathematics Conference (pp. 71-84). Contactforum.
  • Open Access
    Kleinow, T., & Pelsser, A. (2009). Utility maximization under solvency constraints and unhedgeable risks. Department of Quantitative Economics, Universiteit van Amsterdam.
  • Open Access
    van Haastrecht, A., & Pelsser, A. (2009). Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility. Faculteit Economie en Bedrijfskunde. http://ssrn.com/abstract=1197262
  • Chen, A., Pelsser, A., & Vellekoop, M. (2008). Optimal investment and indifference pricing when risk aversion is not monotone: SAHARA utility functions. Faculteit Economie en Bedrijfskunde.
  • Chen, A., Pelsser, A., & Vellekoop, M. (2008). Approximate solutions for indifference pricing under general utility functions. Faculteit Economie en Bedrijfskunde.
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