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Michèle Vanmaele

14 works· latest 2018· 1 institutionscluster: provisionalORCID 0000-0002-9882-4360

h-index14

i1014

Citations718

Works here14

Most cited in this library

Advanced Mathematical Methods for Finance2011 · 115 citations
Pricing of arithmetic basket options by conditioning2004 · 106 citations
Static super-replicating strategies for a class of exotic options2008 · 83 citations
An Overview of Comonotonicity and Its Applications in Finance and Insurance2011 · 74 citations
Bounds for the price of discrete arithmetic Asian options2005 · 66 citations

Works

14 shown

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

Computers & Mathematics with Applications·2018·3 authors·Open access

34citations

Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatility

Computational Economics·2017·3 authors

38citations

On an Optimization Problem Related to Static Super-Replicating Strategies

Journal of Computational and Applied Mathematics·2014·5 authors·Open access

21citations

Advanced Mathematical Methods for Finance

Springer eBooks·2011·3 authors·book·Open access

115citations

An Overview of Comonotonicity and Its Applications in Finance and Insurance

Springer eBooks·2011·3 authors·chapter

74citations

The Föllmer–Schweizer decomposition: Comparison and description

Stochastic Processes and their Applications·2010·3 authors·Open access

26citations

Pricing and hedging Asian basket spread options

Journal of Computational and Applied Mathematics·2009·3 authors·Open access

23citations

Moment matching approximation of Asian basket option prices

Journal of Computational and Applied Mathematics·2009·2 authors·Open access

24citations

A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market

Insurance Mathematics and Economics·2008·2 authors

43citations

Static super-replicating strategies for a class of exotic options

Insurance Mathematics and Economics·2008·4 authors·Open access

83citations

Bounds for Asian basket options

Journal of Computational and Applied Mathematics·2006·3 authors·Open access

43citations

Bounds for the price of discrete arithmetic Asian options

Journal of Computational and Applied Mathematics·2005·5 authors·Open access

66citations

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

European Journal of Operational Research·2004·4 authors·Open access

22citations

Pricing of arithmetic basket options by conditioning

Insurance Mathematics and Economics·2004·3 authors·Open access

106citations