Antoon Pelsser | Maastricht University, School of Business and Economics (original) (raw)
Uploads
Papers by Antoon Pelsser
In this paper we extend the stochastic volatility model of Schoebel and Zhu (1999) by including s... more In this paper we extend the stochastic volatility model of Schoebel and Zhu (1999) by including stochastic interest rates. Furthermore we allow all driving model factors to be instantaneously correlated with each other, i.e. we allow for a correlation between the instantaneous interest rates, the volatilities and the underlying stock returns. By deriving the characteristic function of the log-asset price
Bookmarks Related papers MentionsView impact
Springer Finance, 2000
Bookmarks Related papers MentionsView impact
Springer Finance, 2000
... The models discussed here are not a reflection of the models in use by ABN-Amro Bank NV at th... more ... The models discussed here are not a reflection of the models in use by ABN-Amro Bank NV at the time of writing this manuscript. ... Page 10. Page 11. Preface This book aims to give an overview of models that can be used for efficient valuation of (exotic) interest rate derivatives. ...
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Review of Derivatives Research, 1996
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Finance and Stochastics, 2000
. In this paper we address the pricing of double barrier options. To derive the density functio... more . In this paper we address the pricing of double barrier options. To derive the density function of the first-hit times of the barriers, we analytically invert the Laplace transform by contour integration. With these barrier densities, we derive pricing formulæfor new types of barrier options: knock-out barrier options which pay a rebate when either one of the barriers is hit. Furthermore we discuss more complicated types of barrier options like double knock-in options.
Bookmarks Related papers MentionsView impact
ASTIN Bulletin, 2008
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Stochastic Models, 2015
Bookmarks Related papers MentionsView impact
SSRN Electronic Journal, 2000
Bookmarks Related papers MentionsView impact
In this paper we extend the stochastic volatility model of Schoebel and Zhu (1999) by including s... more In this paper we extend the stochastic volatility model of Schoebel and Zhu (1999) by including stochastic interest rates. Furthermore we allow all driving model factors to be instantaneously correlated with each other, i.e. we allow for a correlation between the instantaneous interest rates, the volatilities and the underlying stock returns. By deriving the characteristic function of the log-asset price
Bookmarks Related papers MentionsView impact
Springer Finance, 2000
Bookmarks Related papers MentionsView impact
Springer Finance, 2000
... The models discussed here are not a reflection of the models in use by ABN-Amro Bank NV at th... more ... The models discussed here are not a reflection of the models in use by ABN-Amro Bank NV at the time of writing this manuscript. ... Page 10. Page 11. Preface This book aims to give an overview of models that can be used for efficient valuation of (exotic) interest rate derivatives. ...
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Review of Derivatives Research, 1996
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Finance and Stochastics, 2000
. In this paper we address the pricing of double barrier options. To derive the density functio... more . In this paper we address the pricing of double barrier options. To derive the density function of the first-hit times of the barriers, we analytically invert the Laplace transform by contour integration. With these barrier densities, we derive pricing formulæfor new types of barrier options: knock-out barrier options which pay a rebate when either one of the barriers is hit. Furthermore we discuss more complicated types of barrier options like double knock-in options.
Bookmarks Related papers MentionsView impact
ASTIN Bulletin, 2008
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
Stochastic Models, 2015
Bookmarks Related papers MentionsView impact
SSRN Electronic Journal, 2000
Bookmarks Related papers MentionsView impact