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Results: 31
Number of items: 31
  • van Haastrecht, A., & Plat, R. (2013). Toepassing Least Squares Monte Carlo op Unit Linked met Eindgarantie. Actuaris, 20(3), 30-31. http://www.ag-ai.nl/download/14911-20-3-art.Haastrecht%2BPlat.pdf
  • van Haastrecht, A., Plat, R., & Pelsser, A. (2010). Valuation of guaranteed annuity options using a stochastic volatility model for equity prices. Insurance: Mathematics & Economics, 47(3), 266-277. https://doi.org/10.1016/j.insmatheco.2010.06.007
  • van Haastrecht, A., & Pelsser, A. (2010). Efficient, almost exact simulation of the Heston stochastic volatility model. International Journal of Theoretical and Applied Finance, 13(1), 1-43. https://doi.org/10.1142/S0219024910005668
  • Open Access
    van Haastrecht, A. (2010). Pricing long-term options with stochastic volatility and stochastic interest rates. [Thesis, fully internal, Universiteit van Amsterdam]. Wohrmann Print Service.
  • van Haastrecht, A., Plat, R., & Pelsser, A. (2009). Valuation of guaranteed annuity options using a stochastic volatility model for equity prices. Faculteit Economie en Bedrijfskunde.
  • 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.
  • 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 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
    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
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