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Search: subject:"Diffusion limit"
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Stochastic process
5
Stochastischer Prozess
5
diffusion limit
5
ARCH model
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ARCH-Modell
4
Diffusion limit
4
Option pricing theory
4
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option pricing
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-Rule
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Badescu, Alexandru
4
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4
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2
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2
Ye, Heng-Qing
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European journal of operational research : EJOR
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ECONIS (ZBW)
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RePEc
3
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1
Balanced routing with partial information in a distributed parallel many-server queueing system
Zhong, Zhiheng
;
Cao, Ping
- In:
European journal of operational research : EJOR
304
(
2023
)
2
,
pp. 618-633
Persistent link: https://www.econbiz.de/10013534548
Saved in:
2
On the asymptotic optimality of the cμ-rule in queueing networks
Özkan, Erhun
- In:
Operations research letters
50
(
2022
)
3
,
pp. 254-259
Persistent link: https://www.econbiz.de/10013364083
Saved in:
3
Dynamic routing in a distributed parallel many-server service system : the effect of ξ-choice
Cao, Ping
;
Zhong, Zhiheng
;
Huang, Junfei
- In:
European journal of operational research : EJOR
294
(
2021
)
1
,
pp. 219-235
Persistent link: https://www.econbiz.de/10012591356
Saved in:
4
The continuous limit of weak GARCH
Alexander, Carol
;
Lazar, Emese
- In:
Econometric reviews
40
(
2021
)
2
,
pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
Saved in:
5
Technical note : on the optimality of reflection control
Yang, Jiankui
;
Yao, David D.
;
Ye, Heng-Qing
- In:
Operations research
68
(
2020
)
6
,
pp. 1668-1677
Persistent link: https://www.econbiz.de/10012392154
Saved in:
6
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
Saved in:
7
General semi-Markov model for limit order books
Sviščuk, Anatolij
;
Hofmeister, Tyler
;
Cera, Katharina
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011686928
Saved in:
8
Diffusion
limit
of fair resource control - stationarity and interchange of limits
Ye, Heng-Qing
;
Yao, David D.
- In:
Mathematics of operations research
41
(
2016
)
4
,
pp. 1161-1207
Persistent link: https://www.econbiz.de/10011595044
Saved in:
9
Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
European journal of operational research : EJOR
247
(
2015
)
3
,
pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
Saved in:
10
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
Journal of Economic Dynamics and Control
42
(
2014
)
C
,
pp. 13-32
non-Gaussian GARCH
diffusion
limit
processes and link them to the corresponding discrete time counterparts. A detailed …
Persistent link: https://www.econbiz.de/10011051965
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