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In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random variables, as explained in Kaas, Dhaene and Goovaerts… (More)

Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool for solving several research and practical problems in the domain of finance and insurance. In this paper, we give an extensive bibliographic overview – without claiming to be complete – of the developments of the theory of comonotonicity and its applications, with… (More)

In Foreign Exchange Markets Compound options (options on options) are traded frequently. Instalment options generalize the concept of Compound options as they allow the holder to prolong a Vanilla Call or Put option by paying instalments of a discrete payment plan. We derive a closed-form solution to the value of such an option in the Black-Scholes model… (More)

- Huguette Reynaerts, Michèle Vanmaele, Jan Dhaene, Griselda Deelstra
- European Journal of Operational Research
- 2006

HUGUETTE REYNAERTS∗, MICHELE VANMAELE∗, JAN DHAENE† and GRISELDA DEELSTRA‡,1 ∗Department of Applied Mathematics and Computer Science, Faculty of Sciences, Ghent University, Krijgslaan 281 S9, 9000 Ghent, Belgium E-mail: huguette.reynaerts@UGent.be †Department of Applied Economics, Faculty of Economics and Applied Economics, Catholic University Leuven,… (More)

- Alfio Borzì, K. W. Morton, Endre Süli, Michèle Vanmaele
- SIAM J. Scientific Computing
- 1997

In this paper a multilevel algorithm for the solution of the cell vertex finite volume Cauchy–Riemann equations is developed. These equations provide a linear algebraic system obtained by the finite volume cell vertex discretization of the inhomogeneous Cauchy–Riemann equations. Both square and triangular cells are employed. The system of linear equations… (More)

- Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele
- J. Computational Applied Mathematics
- 2010

Abstract In this paper we consider the problem of pricing a general Asian basket spread option. We develop approximations formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give… (More)

- Grzegorz Darkiewicz, Griselda Deelstra, Jan Dhaene, Tom Hoedemakers, Michèle Vanmaele
- 2008

We investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of non-independent random variables. The bounds are derived using the concepts of comonotonicity, convex order and conditioning. The performance of the presented approximations is investigated numerically for individual life annuity contracts as… (More)

- Tom Hoedemakers, Grzegorz Darkiewicz, Griselda Deelstra, Jan Dhaene, Michèle Vanmaele
- 2004

In this paper we present in a general setting lower and upper bounds for the stop-loss premium of a (stochastic) sum of dependent random variables. Therefore, use is made of the methodology of comonotonic variables and the convex ordering of risks, introduced by Kaas et al. (2000) and Dhaene et al. (2002a, 2002b), combined with actuarial conditioning. The… (More)

- Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele
- J. Computational Applied Mathematics
- 2010

In this paper we propose some moment matching pricing methods for European-style discrete arithmetic Asian basket options in a Black & Scholes framework. We generalize the approach of [5] and of [8] in several ways. We create a framework that allows for a whole class of conditioning random variables which are normally distributed. We moment match not only… (More)

- Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders, Michèle Vanmaele
- J. Computational Applied Mathematics
- 2015

In this paper, we investigate an optimization problem related to super-replicating strategies for European-type call options written on a weighted sum of asset prices, following the initial approach in Chen et al. (2008). Three issues are investigated. The first issue is the (non-)uniqueness of the optimal solution. The second issue is the generalization to… (More)