Ben Stassen

KU Leuven - Faculty of Business and Economics (FEB)

Naamsestraat 69

Leuven, B-3000

Belgium

  • KU Leuven - Faculty of Business and Economics (FEB)

SCHOLARLY PAPERS

3

DOWNLOADS

315

TOTAL CITATIONS

9

Scholarly Papers (3)

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1.

The Multivariate Variance Gamma Model: Basket Option Pricing and Calibration

Downloads 137 (373,771)
Citation 4

The Multivariate Variance Gamma Model: Basket Option Pricing and Calibration

Number of pages: 32 Posted: 25 Oct 2014
Daniël Linders and Ben Stassen
University of Illinois and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 137 (450,517)
Citation 4

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The Multivariate Variance Gamma Model: Basket Option Pricing and Calibration

Daniël Linders & Ben Stassen (2015): The multivariate Variance Gamma model: basket option pricing and calibration, Quantitative Finance
Posted: 30 Aug 2014 Last Revised: 04 Jul 2015
Daniël Linders and Ben Stassen
University of Illinois and KU Leuven - Faculty of Business and Economics (FEB)

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Multivariate Variance Gamma model, basket options, calibration, Dow Jones

2.

The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks

Number of pages: 34 Posted: 31 Aug 2014
Jan Dhaene, Ben Stassen, Pierre Devolder and Michel Vellekoop
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), Catholic University of Louvain and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 94 (595,080)
Citation 1

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Minimal entropy martingale measure, relative entropy, financial risks, actuarial risks, independence, incomplete markets.

3.

On the (In-)Dependence between Financial and Actuarial Risks

Insurance: Mathematics and Economics, Vol. 52, No. 3, 2013
Number of pages: 23 Posted: 04 Sep 2014
Jan Dhaene, Alexander Kukush, Elisa Luciano, Wim Schoutens and Ben Stassen
Katholieke Universiteit Leuven, Taras Shevchenko National University of Kyiv, University of Turin - Department of Statistics and Applied Mathematics, KU Leuven - Department of Mathematics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 84 (637,703)
Citation 4

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Independence, real-world probability measure, risk-neutral probability measure, financial risks, actuarial risks, insurance securitization