Bas Peeters

VU University Amsterdam - Faculty of Economics and Business Administration

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

NN Investment Partners

Schenkkade 65

2595 AK The Hague

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS
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in Total Papers Downloads

1,109

CITATIONS

0

Scholarly Papers (3)

1.

Black Scholes for Portfolios of Options in Discrete Time

Tinbergen Institute Discussion Paper No. 2003-090/2
Number of pages: 29 Posted: 28 Nov 2003
Bas Peeters, Andre Lucas and Cees L. Dert
VU University Amsterdam - Faculty of Economics and Business Administration, VU Amsterdam - School of Business and Economics and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 639 (30,639)

Abstract:

Option hedging, discrete time, portfolio approach, preference free valuation, hedging errors, Arbitrage Pricing Theory

2.

Implied Volatility Risk Premiums

Number of pages: 16 Posted: 25 Jan 2008
Bas Peeters
VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 289 (80,865)

Abstract:

3.

Risk Premiums in a Multi-Factor Jump-Diffusion Model for the Joint Dynamics of Equity Options and Their Underlying

Number of pages: 67 Posted: 13 Aug 2014
Robert Huitema and Bas Peeters
University of Zurich - Department of Banking and Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 83 (191,903)

Abstract:

Stochastic volatility, jump-diffusion modeling, risk aversion, market modeling, implied volatility surface