Narrow search
Showing 1 - 10 of 136
Cover Image
Commodity derivatives pricing with cointegration and stochastic covariances
Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 246 (2015) 2, pp. 476-486
Persistent link: https://www.econbiz.de/10011338124
Cover Image
Discrete time modeling of mean-reverting stochastic processes for real option valuation
Hahn, Warren J.; Dyer, James S. - In: European journal of operational research : EJOR 184 (2008) 2, pp. 534-548
Persistent link: https://www.econbiz.de/10003768285
Cover Image
Pricing caps with HJM models : the benefits of humped volatility
Falini, Jury - In: European journal of operational research : EJOR 207 (2010) 3, pp. 1358-1367
Persistent link: https://www.econbiz.de/10008702195
Cover Image
On valuing and hedging European options when volatility is estimated directly
Popovic, Ray; Goldsman, David Morris - In: European journal of operational research : EJOR 218 (2012) 1, pp. 124-131
Persistent link: https://www.econbiz.de/10009501057
Cover Image
Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
Cover Image
Electricity futures price models : calibration and forecasting
Islyaev, Suren; Date, Paresh - In: European journal of operational research : EJOR 247 (2015) 1, pp. 144-154
Persistent link: https://www.econbiz.de/10011347115
Cover Image
Optimizing bounds on security prices in incomplete markets : does stochastic volatility specification matter?
Marroquín-Martínez, Naroa; Moreno, Manuel - In: European journal of operational research : EJOR 225 (2013) 3, pp. 429-442
Persistent link: https://www.econbiz.de/10009706918
Cover Image
An explicitly solvable Heston model with stochastic interest rate
Recchioni, M. C.; Sun, Y. - In: European journal of operational research : EJOR 249 (2016) 1, pp. 359-377
Persistent link: https://www.econbiz.de/10011435870
Cover Image
On moment non-explosions for Wishart-based stochastic volatility models
Fonseca, José da - In: European journal of operational research : EJOR 254 (2016) 3, pp. 889-894
Persistent link: https://www.econbiz.de/10011521879
Cover Image
A fast calibrating volatility model for option pricing
Date, Paresh; Islyaev, Suren - In: European journal of operational research : EJOR 243 (2015) 2, pp. 599-606
Persistent link: https://www.econbiz.de/10010510013