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Publication search results
found 10 matches
- 2024
- Felix L. Wolf
, Griselda Deelstra
, Lech A. Grzelak:
Consistent asset modelling with random coefficients and switches between regimes. Math. Comput. Simul. 223: 65-85 (2024) - 2023
- Griselda Deelstra
, Peter Hieber
:
Randomization and the valuation of guaranteed minimum death benefits. Eur. J. Oper. Res. 309(3): 1218-1236 (2023) - 2020
- Griselda Deelstra, Guy Latouche, Matthieu Simon
:
On barrier option pricing by Erlangization in a regime-switching model with jumps. J. Comput. Appl. Math. 371: 112606 (2020) - 2017
- Laura Ballotta
, Griselda Deelstra, Grégory Rayée:
Multivariate FX models with jumps: Triangles, Quantos and implied correlation. Eur. J. Oper. Res. 260(3): 1181-1199 (2017) - Griselda Deelstra, Matthieu Simon
:
Multivariate European option pricing in a Markov-modulated Lévy framework. J. Comput. Appl. Math. 317: 171-187 (2017) - 2015
- Xinliang Chen, Griselda Deelstra, Jan Dhaene
, Daniël Linders
, Michèle Vanmaele
:
On an optimization problem related to static super-replicating strategies. J. Comput. Appl. Math. 278: 213-230 (2015) - 2014
- Donatien Hainaut, Griselda Deelstra:
Default probabilities of a holding company, with complete and partial information. J. Comput. Appl. Math. 271: 380-400 (2014) - 2010
- Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele
:
Moment matching approximation of Asian basket option prices. J. Comput. Appl. Math. 234(4): 1006-1016 (2010) - Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele
:
Pricing and hedging Asian basket spread options. J. Comput. Appl. Math. 233(11): 2814-2830 (2010) - 2006
- Huguette Reynaerts, Michèle Vanmaele
, Jan Dhaene
, Griselda Deelstra:
Bounds for the price of a European-style Asian option in a binary tree model. Eur. J. Oper. Res. 168(2): 322-332 (2006)
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