Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

By A. V. Haastrecht, R. Lord, Antoon Pelsser, D. Schrager. 2009

82 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/69312d8ce4f9d5521239154deb6ef444bb681b62

How researchers see this paper

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

In Demography

1. Marek Rutkowski
2. R. Ahlip

In Finance

1. Marek Rutkowski
2. R. Ahlip
3. St'ephane Cr'epey
4. Damiano Brigo
5. Monique Jeanblanc
6. Tomasz R. Bielecki
7. Damir Filipovi'c
8. Antoon Pelsser

Citations in the corpus

• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013, methodology): “Van Haastrecht, A. and Pelsser, A., Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic5 volatility.”