Mathematical foundation of convexity correction

By Antoon Pelsser. 2003

55 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/68e323cc617f43f9fa3ddb849ac6f46061137495

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. D. Schrager
2. Antoon Pelsser
3. R. Lord
4. A. V. Haastrecht

In Management Science and Operations Research

1. D. Schrager

Citations in the corpus

• Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance (2004, methodology): “To obtain numerical results on the price of a guarantee according to the approach in section 7 which have empirical relevance, we use the estimation results of De Jong, Driessen and Pelsser (2002) on a full-factor LMM.”