Griselda Deelstra

Publication Activity (10 Years)

Years Active: 2006-2024
Publications (10 Years): 6

Top Topics

Partial Information

Markov Modulated

Top Venues

J. Comput. Appl. Math.

Eur. J. Oper. Res.

Math. Comput. Simul.

Publications

Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak
Consistent asset modelling with random coefficients and switches between regimes. Math. Comput. Simul. 223 (2024)
Griselda Deelstra, Peter Hieber
Randomization and the valuation of guaranteed minimum death benefits. Eur. J. Oper. Res. 309 (3) (2023)
Griselda Deelstra, Guy Latouche, Matthieu Simon
On barrier option pricing by Erlangization in a regime-switching model with jumps. J. Comput. Appl. Math. 371 (2020)
Laura Ballotta, Griselda Deelstra, Grégory Rayée
Multivariate FX models with jumps: Triangles, Quantos and implied correlation. Eur. J. Oper. Res. 260 (3) (2017)
Griselda Deelstra, Matthieu Simon
Multivariate European option pricing in a Markov-modulated Lévy framework. J. Comput. Appl. Math. 317 (2017)
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 (2015)
Donatien Hainaut, Griselda Deelstra
Default probabilities of a holding company, with complete and partial information. J. Comput. Appl. Math. 271 (2014)
Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele
Moment matching approximation of Asian basket option prices. J. Comput. Appl. Math. 234 (4) (2010)
Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele
Pricing and hedging Asian basket spread options. J. Comput. Appl. Math. 233 (11) (2010)
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) (2006)