Antoon Pelsser

According to our database, Antoon Pelsser authored at least 8 papers between 2000 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

A gradient method for high-dimensional BSDEs.

Kossi Gnameho, Mitja Stadje, Antoon Pelsser

Monte Carlo Methods Appl., 2024

2022

Near-optimal asset allocation in financial markets with trading constraints.

Thijs Kamma, Antoon Pelsser

Eur. J. Oper. Res., 2022

2021

Quantifying ambiguity bounds via time-consistent sets of indistinguishable models.

Anne G. Balter, Antoon Pelsser

Syst. Control. Lett., 2021

2020

Pricing and hedging in incomplete markets with model uncertainty.

Anne G. Balter, Antoon Pelsser

Eur. J. Oper. Res., 2020

2019

A Monte Carlo method for backward stochastic differential equations with Hermite martingales.

Antoon Pelsser, Kossi Gnameho

Monte Carlo Methods Appl., 2019

2011

Modeling non-monotone risk aversion using SAHARA utility functions.

An Chen, Antoon Pelsser, Michel Vellekoop

J. Econ. Theory, 2011

2000

Pricing double barrier options using Laplace transforms.

Antoon Pelsser

Finance Stochastics, 2000

Markov-functional interest rate models.

Phil Hunt, Joanne Kennedy, Antoon Pelsser

Finance Stochastics, 2000