Griselda Deelstra

Orcid: 0000-0002-7379-5508

According to our database1, Griselda Deelstra authored at least 10 papers between 2006 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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PhD thesis 
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Bibliography

2024
Consistent asset modelling with random coefficients and switches between regimes.
Math. Comput. Simul., 2024

2023
Randomization and the valuation of guaranteed minimum death benefits.
Eur. J. Oper. Res., 2023

2020
On barrier option pricing by Erlangization in a regime-switching model with jumps.
J. Comput. Appl. Math., 2020

2017
Multivariate European option pricing in a Markov-modulated Lévy framework.
J. Comput. Appl. Math., 2017

Multivariate FX models with jumps: Triangles, Quantos and implied correlation.
Eur. J. Oper. Res., 2017

2015
On an optimization problem related to static super-replicating strategies.
J. Comput. Appl. Math., 2015

2014
Default probabilities of a holding company, with complete and partial information.
J. Comput. Appl. Math., 2014

2010
Pricing and hedging Asian basket spread options.
J. Comput. Appl. Math., 2010

Moment matching approximation of Asian basket option prices.
J. Comput. Appl. Math., 2010

2006
Bounds for the price of a European-style Asian option in a binary tree model.
Eur. J. Oper. Res., 2006


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