Griselda Deelstra

11 papers Journal 11
YearRankTypeTitle / Venue / Authors
2024 J jnl
Accelerated computations of sensitivities for xVA.
Int. J. Comput. Math.
Griselda Deelstra, Lech A. Grzelak, Felix L. Wolf
2024 J jnl
Consistent asset modelling with random coefficients and switches between regimes.
Math. Comput. Simul.
Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak
2023 J jnl
Randomization and the valuation of guaranteed minimum death benefits.
Eur. J. Oper. Res.
Griselda Deelstra, Peter Hieber
2020 J jnl
On barrier option pricing by Erlangization in a regime-switching model with jumps.
J. Comput. Appl. Math.
Griselda Deelstra, Guy Latouche, Matthieu Simon
2017 J jnl
Multivariate European option pricing in a Markov-modulated Lévy framework.
J. Comput. Appl. Math.
Griselda Deelstra, Matthieu Simon
2017 J jnl
Multivariate FX models with jumps: Triangles, Quantos and implied correlation.
Eur. J. Oper. Res.
Laura Ballotta, Griselda Deelstra, Grégory Rayée
2015 J jnl
On an optimization problem related to static super-replicating strategies.
J. Comput. Appl. Math.
Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders, Michèle Vanmaele
2014 J jnl
Default probabilities of a holding company, with complete and partial information.
J. Comput. Appl. Math.
Donatien Hainaut, Griselda Deelstra
2010 J jnl
Moment matching approximation of Asian basket option prices.
J. Comput. Appl. Math.
Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele
2010 J jnl
Pricing and hedging Asian basket spread options.
J. Comput. Appl. Math.
Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele
2006 J jnl
Bounds for the price of a European-style Asian option in a binary tree model.
Eur. J. Oper. Res.
Huguette Reynaerts, Michèle Vanmaele, Jan Dhaene, Griselda Deelstra