Michèle Vanmaele

According to our database, Michèle Vanmaele authored at least 13 papers between 1996 and 2025.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2025

Numerical valuation of European options under two-asset infinite-activity exponential Lévy models.

Massimiliano Moda, Karel J. in 't Hout, Michèle Vanmaele, Fred Espen Benth

CoRR, November, 2025

Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps.

Mustapha Regragui, Karel J. in 't Hout, Michèle Vanmaele, Fred Espen Benth

CoRR, November, 2025

2018

An RBF-FD method for pricing American options under jump-diffusion models.

Majid Haghi, Reza Mollapourasl, Michèle Vanmaele

Comput. Math. Appl., 2018

2017

Model risk and discretisation of locally risk-minimising strategies.

Xianming Sun, Thorsten Schulz, Asma Khedher, Michèle Vanmaele

J. Comput. Appl. Math., 2017

2016

Robustness of quadratic hedging strategies in finance via Fourier transforms.

Catherine Daveloose, Asma Khedher, Michèle Vanmaele

J. Comput. Appl. Math., 2016

2015

On an optimization problem related to static super-replicating strategies.

Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders, Michèle Vanmaele

J. Comput. Appl. Math., 2015

2010

Pricing and hedging Asian basket spread options.

Griselda Deelstra, Alexandre Petkovic, Michèle Vanmaele

J. Comput. Appl. Math., 2010

Moment matching approximation of Asian basket option prices.

Griselda Deelstra, Ibrahima Diallo, Michèle Vanmaele

J. Comput. Appl. Math., 2010

2009

Explicit portfolio for unit-linked life insurance contracts with surrender option.

Nele Vandaele, Michèle Vanmaele

J. Comput. Appl. Math., 2009

2006

Bounds for the price of a European-style Asian option in a binary tree model.

Huguette Reynaerts, Michèle Vanmaele, Jan Dhaene, Griselda Deelstra

Eur. J. Oper. Res., 2006

2003

A Sensitivity Analysis for the Pricing of European Call Options in a Binary Tree Model.

Huguette Reynaerts, Michèle Vanmaele

Proceedings of the ISIPTA '03, 2003

1997

Multilevel Solution of Cell Vertex Cauchy-Riemann Equations.

Alfio Borzì, K. W. Morton, Endre Süli, Michèle Vanmaele

SIAM J. Sci. Comput., 1997

1996

On a variational approximation method for a class of elliptic Eigenvalue problems in composite structures.

Michèle Vanmaele, Roger Van Keer

Math. Comput., 1996