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Kim, Junseok
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Amman, Hans M.
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Fabozzi, Frank J.
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Computational economics
European journal of operational research : EJOR
3,066
Computers & operations research : and their applications to problems of world concern ; an international journal
1,495
International journal of production research
985
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838
Operations research letters
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388
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ECONIS (ZBW)
328
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1
An integer programming model for pricing American contingent claims under transaction costs
Pınar, M. Ç.
;
Camcı, A.
- In:
Computational economics
39
(
2012
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10009508053
Saved in:
2
An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi
;
Wang, Wansheng
;
Xiao, Aiguo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
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3
A finite difference scheme for pairs trading with transaction costs
Li, Zequn
;
Tourin, Agnès
- In:
Computational economics
60
(
2022
)
2
,
pp. 601-632
Persistent link: https://www.econbiz.de/10013380794
Saved in:
4
Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm
Zhang, Xi-li
;
Zhang, Wei-guo
;
Xu, Wei-jun
;
Xiao, Wei-lin
- In:
Computational economics
36
(
2010
)
3
,
pp. 191-200
Persistent link: https://www.econbiz.de/10008903155
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5
Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad
- In:
Computational economics
54
(
2019
)
2
,
pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
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6
International assets allocation with risk management via multi-stage stochastic programming
Yin, Libo
;
Han, Liyan
- In:
Computational economics
55
(
2020
)
2
,
pp. 385-405
Persistent link: https://www.econbiz.de/10012223636
Saved in:
7
Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert
;
Ceffer, Attila
;
Levendovszky, János
- In:
Computational economics
49
(
2017
)
4
,
pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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8
A linear stochastic programming model for optimal leveraged portfolio selection
Valladão, Davi Michel
;
Veiga, Alvaro
;
Street, Alexandre
- In:
Computational economics
51
(
2018
)
4
,
pp. 1021-1032
Persistent link: https://www.econbiz.de/10011972212
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9
Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Ma, Yong-Ki
- In:
Computational economics
55
(
2020
)
1
,
pp. 185-210
Persistent link: https://www.econbiz.de/10012222596
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10
Numerically pricing nonlinear time-fractional Black-Scholes equation with time-dependent parameters under transaction costs
Rezaei, M.
;
Yazdanian, A. R.
;
Ashrafi, A.
;
Mahmoudi, S. M.
- In:
Computational economics
60
(
2022
)
1
,
pp. 243-280
Persistent link: https://www.econbiz.de/10013262670
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