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A linear-quadratic Gaussian approach to dynamic information acquisition
Weber, Thomas A.; Nguyen, Viet Anh - In: European journal of operational research : EJOR 270 (2018) 1, pp. 260-281
Persistent link: https://www.econbiz.de/10011869004
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Optimal information acquisition for a linear quadratic control problem
Lindset, Snorre; Lund, Arne-Christian; Matsen, Egil - In: European journal of operational research : EJOR 199 (2009) 2, pp. 435-441
Persistent link: https://www.econbiz.de/10003867273
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Income drawdown option with minimum guarantee
Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624
Persistent link: https://www.econbiz.de/10010360497
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On optimal options book execution strategies with market impact
Kalife, Aymeric; Mouti, Saad - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-40
Persistent link: https://www.econbiz.de/10011715825