Concepedia

Antoon Pelsser

AP

Statistics

Publications

48

Citations

1.5K

H-Index

21

Active since

1994

Affiliations

Maastricht University(Current)

Network for Studies on Pensions, Aging and Retirement

University of Amsterdam

Erasmus University Rotterdam

Tilburg University

Antoon Pelsser is an author at Maastricht University specializing in finance, business, and option pricing.

Top concepts

FinanceBusinessOption PricingAsset PricingEngineeringEconomicsManagementFinancial EngineeringInsuranceFinancial Economics

Publications per year

1994–2021

48

Publications

48

Pricing double barrier options using Laplace transforms

Antoon Pelsser · Finance and Stochastics · 2000 · 140 citations

Mathematical Programming, Option Pricing, Engineering +4

Markov-functional interest rate models

P. J. Hunt, Joanne Kennedy, Antoon Pelsser · Finance and Stochastics · 2000 · 82 citations

Cox-ingersoll-ross Model, Dynamic Economic Model, Term Structure Model +4

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

PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS

David Schrager, Antoon Pelsser · Mathematical Finance · 2006 · 78 citations · Full text

Approximate Price, Option Pricing, Affine Models +9

The Binomial Model and the Greeks

Antoon Pelsser, Ton Vorst · The Journal of Derivatives · 1994 · 77 citations

History Of Mathematics, Binomial Model, Formal Theory +1

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