Ton Vorst
Ton Vorst
Verified email at vu.nl
Title
Cited by
Cited by
Year
A pricing method for options based on average asset values
AGZ Kemna, ACF Vorst
Journal of Banking & Finance 14 (1), 113-129, 1990
8691990
Option replication in discrete time with transaction costs
PP Boyle, T Vorst
The Journal of Finance 47 (1), 271-293, 1992
5771992
Comparing possible proxies of corporate bond liquidity
P Houweling, A Mentink, T Vorst
Journal of Banking & Finance 29 (6), 1331-1358, 2005
4092005
Pricing default swaps: Empirical evidence
P Houweling, T Vorst
Journal of international Money and Finance 24 (8), 1200-1225, 2005
3712005
Analysis of the term structure of implied volatilities
R Heynen, A Kemna, T Vorst
Journal of Financial and Quantitative Analysis, 31-56, 1994
2691994
A threshold error‐correction model for intraday futures and index returns
M Martens, P Kofman, TCF Vorst
Journal of Applied Econometrics 13 (3), 245-263, 1998
2201998
Complex barrier options
THF Cheuk, T Vorst
J. OF DERIVATIVES, Fall, 1996
1681996
Prices and hedge ratios of average exchange rate options
T Vorst
International Review of Financial Analysis 1 (3), 179-193, 1992
1541992
The impact of firm specific news on implied volatilities
MWM Donders, TCF Vorst
Journal of banking & finance 20 (9), 1447-1461, 1996
1321996
An empirical comparison of default swap pricing models
P Houweling, T Vorst
ERIM Report Series Reference No. ERS-2002-23-F&A, 2002
1002002
The binomial model and the Greeks
A Pelsser, TCF Vorst
The Journal of Derivatives 1 (3), 45-49, 1994
881994
Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity
MWM Donders, R Kouwenberg, TCF Vorst
European Financial Management 6 (2), 149-171, 2000
802000
Currency lookback options and observation frequency: a binomial approach
THF Cheuk, TCF Vorst
Journal of International Money and Finance 16 (2), 173-187, 1997
771997
The general linear group of polynomial rings over regular rings
T Vorst
Communications in Algebra 9 (5), 499-509, 1981
751981
Localization of the K-theory of polynomial extensions
T Vorst
Mathematische Annalen 244 (1), 33-53, 1979
701979
Pricing American interest rate claims with humped volatility models
JM Moraleda, TCF Vorst
Journal of Banking & Finance 21 (8), 1131-1157, 1997
581997
Hedging options under transaction costs and stochastic volatility
J Gondzio, R Kouwenberg, T Vorst
Journal of Economic Dynamics and Control 27 (6), 1045-1068, 2003
542003
How to measure corporate bond liquidity?
P Houweling, AA Mentink, T Vorst
542003
Options on dividend paying stocks
R Beneder, T Vorst
Recent developments in mathematical finance, 204-217, 2002
462002
Shake-and-bake algorithms for generating uniform points on the boundary of bounded polyhedra
CGE Boender, RJ Caron, JF McDonald, AHGR Kan, HE Romeijn, ...
Operations research 39 (6), 945-954, 1991
461991
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