Michèle Vanmaele

13 papers Journal 12Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps.
CoRR
Mustapha Regragui, Karel J. in 't Hout, Michèle Vanmaele, Fred Espen Benth
2025 J jnl
Numerical valuation of European options under two-asset infinite-activity exponential Lévy models.
CoRR
Massimiliano Moda, Karel J. in 't Hout, Michèle Vanmaele, Fred Espen Benth
2018 J jnl
An RBF-FD method for pricing American options under jump-diffusion models.
Comput. Math. Appl.
Majid Haghi, Reza Mollapourasl, Michèle Vanmaele
2017 J jnl
Model risk and discretisation of locally risk-minimising strategies.
J. Comput. Appl. Math.
Xianming Sun, Thorsten Schulz, Asma Khedher, Michèle Vanmaele
2016 J jnl
Robustness of quadratic hedging strategies in finance via Fourier transforms.
J. Comput. Appl. Math.
Catherine Daveloose, Asma Khedher, Michèle Vanmaele
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
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
2009 J jnl
Explicit portfolio for unit-linked life insurance contracts with surrender option.
J. Comput. Appl. Math.
Nele Vandaele, 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
2003 — conf
A Sensitivity Analysis for the Pricing of European Call Options in a Binary Tree Model.
ISIPTA
Huguette Reynaerts, Michèle Vanmaele
1997 J jnl
Multilevel Solution of Cell Vertex Cauchy-Riemann Equations.
SIAM J. Sci. Comput.
Alfio Borzì, K. W. Morton, Endre Süli, Michèle Vanmaele
1996 J jnl
On a variational approximation method for a class of elliptic Eigenvalue problems in composite structures.
Math. Comput.
Michèle Vanmaele, Roger Van Keer