Griselda Deelstra

According to our database, Griselda Deelstra authored at least 10 papers between 2006 and 2024.

Collaborative distances:

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

2024

Consistent asset modelling with random coefficients and switches between regimes.

Felix L. Wolf, Griselda Deelstra, Lech A. Grzelak

Math. Comput. Simul., 2024

2023

Randomization and the valuation of guaranteed minimum death benefits.

Griselda Deelstra, Peter Hieber

Eur. J. Oper. Res., 2023

2020

On barrier option pricing by Erlangization in a regime-switching model with jumps.

Griselda Deelstra, Guy Latouche, Matthieu Simon

J. Comput. Appl. Math., 2020

2017

Multivariate European option pricing in a Markov-modulated Lévy framework.

Griselda Deelstra, Matthieu Simon

J. Comput. Appl. Math., 2017

Multivariate FX models with jumps: Triangles, Quantos and implied correlation.

Laura Ballotta, Griselda Deelstra, Grégory Rayée

Eur. J. Oper. Res., 2017

2015

On an optimization problem related to static super-replicating strategies.

Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders, Michèle Vanmaele

J. Comput. Appl. Math., 2015

2014

Default probabilities of a holding company, with complete and partial information.

Donatien Hainaut, Griselda Deelstra

J. Comput. Appl. Math., 2014

2010

Pricing and hedging Asian basket spread options.

Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele

J. Comput. Appl. Math., 2010

Moment matching approximation of Asian basket option prices.

Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele

J. Comput. Appl. Math., 2010

2006

Bounds for the price of a European-style Asian option in a binary tree model.

Huguette Reynaerts, Michèle Vanmaele, Jan Dhaene, Griselda Deelstra

Eur. J. Oper. Res., 2006