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Antoon Pelsser

Orcid: 0000-0001-6726-4236

According to our database1, Antoon Pelsser authored at least 7 papers between 2000 and 2022.

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

Timeline

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Online presence:

On csauthors.net:

Bibliography

2022
Near-optimal asset allocation in financial markets with trading constraints.
[BibTeX]
[DOI]
Thijs Kamma
,
Antoon Pelsser
Eur. J. Oper. Res., 2022

2021
Quantifying ambiguity bounds via time-consistent sets of indistinguishable models.
[BibTeX]
[DOI]
Anne G. Balter
,
Antoon Pelsser
Syst. Control. Lett., 2021

2020
Pricing and hedging in incomplete markets with model uncertainty.
[BibTeX]
[DOI]
Anne G. Balter
,
Antoon Pelsser
Eur. J. Oper. Res., 2020

2019
A Monte Carlo method for backward stochastic differential equations with Hermite martingales.
[BibTeX]
[DOI]
Antoon Pelsser
,
Kossi Gnameho
Monte Carlo Methods Appl., 2019

2011
Modeling non-monotone risk aversion using SAHARA utility functions.
[BibTeX]
[DOI]
An Chen
,
Antoon Pelsser
,
Michel Vellekoop
J. Econ. Theory, 2011

2000
Pricing double barrier options using Laplace transforms.
[BibTeX]
[DOI]
Antoon Pelsser
Finance Stochastics, 2000

Markov-functional interest rate models.
[BibTeX]
[DOI]
Phil Hunt
,
Joanne Kennedy
,
Antoon Pelsser
Finance Stochastics, 2000


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