A. van Haastrecht

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

A. van Haastrecht, Roger Lord, Antoon Pelsser et al. · Insurance Mathematics and Economics · 2009 · 80 citations · Full text

Economics, Multivariate Stochastic Volatility, Option Pricing +9

Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility

A. van Haastrecht, Antoon Pelsser · Quantitative Finance · 2010 · 53 citations · Full text

Volatility Modeling, Engineering, Foreign Exchange Option +16

Pricing Long-Maturity Equity and FX Derivatives with Stochastic Interest Rates and Stochastic Volatility

A. van Haastrecht, Roger Lord, Antoon Pelsser et al. · 2005 · 20 citations

Volatility Modeling, Term Structure Model, Engineering +16

Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

A. van Haastrecht, Richard Plat, Antoon Pelsser · Insurance Mathematics and Economics · 2010 · 17 citations · Full text

Option Pricing, Multivariate Stochastic Volatility, Volatility Modeling +10

EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL

A. van Haastrecht, Antoon Pelsser · International Journal of Theoretical and Applied Finance · 2010 · 16 citations · Full text

Numerical Analysis, Volatility Modeling, Engineering +22