Antoon Pelsser

Orcid: 0000-0001-6726-4236

According to our database1, Antoon Pelsser authored at least 8 papers between 2000 and 2024.

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

Timeline

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Bibliography

2024
A gradient method for high-dimensional BSDEs.
Monte Carlo Methods Appl., 2024

2022
Near-optimal asset allocation in financial markets with trading constraints.
Eur. J. Oper. Res., 2022

2021
Quantifying ambiguity bounds via time-consistent sets of indistinguishable models.
Syst. Control. Lett., 2021

2020
Pricing and hedging in incomplete markets with model uncertainty.
Eur. J. Oper. Res., 2020

2019
A Monte Carlo method for backward stochastic differential equations with Hermite martingales.
Monte Carlo Methods Appl., 2019

2011
Modeling non-monotone risk aversion using SAHARA utility functions.
J. Econ. Theory, 2011

2000
Pricing double barrier options using Laplace transforms.
Finance Stochastics, 2000

Markov-functional interest rate models.
Finance Stochastics, 2000


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