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ORCIDGriselda Deelstra
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Journal Articles
- 2024
[j10]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
- [j9]Griselda Deelstra, Peter Hieber:
Randomization and the valuation of guaranteed minimum death benefits. Eur. J. Oper. Res. 309(3): 1218-1236 (2023) - 2020
- [j8]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
- [j7]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) - [j6]Griselda Deelstra, Matthieu Simon:
Multivariate European option pricing in a Markov-modulated Lévy framework. J. Comput. Appl. Math. 317: 171-187 (2017) - 2015
- [j5]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
- [j4]Donatien Hainaut, Griselda Deelstra:
Default probabilities of a holding company, with complete and partial information. J. Comput. Appl. Math. 271: 380-400 (2014) - 2010
- [j3]Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele:
Pricing and hedging Asian basket spread options. J. Comput. Appl. Math. 233(11): 2814-2830 (2010) - [j2]Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele:
Moment matching approximation of Asian basket option prices. J. Comput. Appl. Math. 234(4): 1006-1016 (2010) - 2006
- [j1]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)
Coauthor Index
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