From planar Brownian windings to Asian options
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- De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002.
"Bounds for present value functions with stochastic interest rates and stochastic volatility,"
Insurance: Mathematics and Economics,
Elsevier, vol. 31(1), pages 87-103, August.
- DE SCHEPPER, Ann & GOOVAERTS, Marc & DHAENE, Jan & KAAS, Rob & VYNCKE, David, 2001. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Working Papers 2001037, University of Antwerp, Faculty of Applied Economics.
- Manuel Moreno & Javier F. Navas, 2003. "Australian Asian Options," Working Papers 28, Barcelona Graduate School of Economics.
- Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J., 1997. "A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 35-41, June.
- Koekebakker, Steen & Adland, Roar & Sødal, Sigbjørn, 2007. "Pricing freight rate options," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 43(5), pages 535-548, September.
- Feng, Runhuan & Volkmer, Hans W., 2012. "Analytical calculation of risk measures for variable annuity guaranteed benefits," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 636-648.
- Manuel Moreno & Javier F. Navas, 2008. "Australian Options," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 69-93, June.
- George Chacko & Sanjiv Ranjan Das, 1997. "Average Interest," NBER Working Papers 6045, National Bureau of Economic Research, Inc.
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