Cees L. Dert

Vrije Universiteit Amsterdam, School of Business and Economics

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS

725

CITATIONS

1

Scholarly Papers (2)

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
Vrije Universiteit Amsterdam, School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 690 (35,931)

Abstract:

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

2.

Decision-Making and Solvency-Based Dynamic Asset Allocation at the ABN AMRO Pension Fund

Journal of Investment Consulting, Vol. 12, No. 2, pp. 35-41, 2011
Number of pages: 8 Posted: 17 Feb 2012
Cees L. Dert and Geraldine Leegwater
Vrije Universiteit Amsterdam, School of Business and Economics and affiliation not provided to SSRN
Downloads 35 (439,118)
Citation 2

Abstract:

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ABN AMRO pension fund, dynamic asset allocation