1. 2015
  2. Algorithmic counterparty credit exposure for multi-asset Bermudan options

    Yanbin, S., Anderluh, JHM. & van der Weide, JAM., 2015, In : International Journal of Theoretical and Applied Finance. 18, 1

    Research output: Contribution to journalArticleScientific

  3. 2013
  4. Pricing options with non-standard barrier mechanisms

    Anderluh, JHM. & Meester, LE., 2013, In : The Journal of Derivatives. 21, 2, p. 75-88 14 p.

    Research output: Contribution to journalArticleScientificpeer-review

  5. 2010
  6. Financiele wiskunde / Model en werkelijkheid ontmoeten elkaar in de crisis

    Anderluh, JHM., 2010, In : Machazine der W.I.S.V. Christiaan Huygens. 15, 2, p. 31-32 2 p.

    Research output: Contribution to journalArticleProfessional

  7. 2009
  8. Double-sided parisian option pricing

    Anderluh, JHM. & van der Weide, JAM., 2009, In : Finance and Stochastics. 13, 2, p. 205-234 30 p.

    Research output: Contribution to journalArticleScientificpeer-review

  9. 2008
  10. Commodity volatility modelling and option pricing with a potential function approach

    Anderluh, JHM. & Borovkova, SA., 2008, In : The European Journal of Finance. 14, 2, p. 91-113 23 p.

    Research output: Contribution to journalArticleScientificpeer-review

  11. Pricing parisian and barriers by hitting time simulation

    Anderluh, JHM., 2008, In : The European Journal of Finance. 14, 1-2, p. 137-156 20 p.

    Research output: Contribution to journalArticleScientificpeer-review

  12. 2007
  13. Probabilistic methods in exotic option pricing

    Anderluh, JHM., 2007, 149 p.

    Research output: ThesisDissertation (TU Delft)Scientific

  14. 2004
  15. ADR option trading

    Anderluh, JHM. & van der Weide, JAM., 2004, Proceedings of the 48th European Study Group Mathematics with Industry. Kraaikamp, C., Lin, HX. & Oosterlee, K. (eds.). Delft: Delft University of Technology, p. 1-7 7 p.

    Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

  16. Commodity volatility modelling and option pricing with a potential function approach

    Anderluh, JHM. & Borovkova, SA., 2004, Second European Deloitte conference in risk management research. Antwerp: University of Antwerp, p. 1-16 16 p.

    Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientific

  17. Parisian options - the implied barrier concept

    Anderluh, JHM. & van der Weide, JAM., 2004, ICCS 2004; Fourth international conference on computational science. Bubak, M., Albada, GD., Sloot, PMA. & Dongarra, JJ. (eds.). Berlin: Springer, p. 851-858 8 p.

    Research output: Chapter in Book/Conference proceedings/Edited volumeConference contributionScientificpeer-review

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