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Investment and financing for SMEs with a partial guarantee and jump risk
Luo, Pengfei; Wang, Huamao; Yang, Zhaojun - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1161-1168
Persistent link: https://www.econbiz.de/10011439328
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Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
Owadally, Iqbal; Jang, Chul; Clare, Andrew D. - In: European journal of operational research : EJOR 295 (2021) 3, pp. 1132-1146
Persistent link: https://www.econbiz.de/10012622446
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Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?
Ewald, Christian; Zou, Yihan - In: European journal of operational research : EJOR 294 (2021) 2, pp. 801-815
Persistent link: https://www.econbiz.de/10012595911
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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Early exercise boundaries for American-style knock-out options
Nunes, Joaõ Pedro Vidal; Ruas, João Pedro; Dias, … - In: European journal of operational research : EJOR 285 (2020) 2, pp. 753-766
Persistent link: https://www.econbiz.de/10012239665
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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
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Copula based multivariate semi-Markov models with applications in high-frequency finance
D'Amico, Guglielmo; Petroni, Filippo - In: European journal of operational research : EJOR 267 (2018) 2, pp. 765-777
Persistent link: https://www.econbiz.de/10011812746
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Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; … - In: European journal of operational research : EJOR 271 (2018) 1, pp. 210-223
Persistent link: https://www.econbiz.de/10011882800
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
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From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489