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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
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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
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Multivariate FX models with jumps : triangles, Quantos and implied correlation
Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory - In: European journal of operational research : EJOR 260 (2017) 3, pp. 1181-1199
Persistent link: https://www.econbiz.de/10011714363
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Computing option price for Levy process with fuzzy parameters
Nowak, Piotr; Romaniuk, Maciej - In: European journal of operational research : EJOR 201 (2010) 1, pp. 206-210
Persistent link: https://www.econbiz.de/10003975446
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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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A general control variate method for Lévy models in finance
Shiraya, Kenichiro; Uenishi, Hiroki; Yamazaki, Akira - In: European journal of operational research : EJOR 284 (2020) 3, pp. 1190-1200
Persistent link: https://www.econbiz.de/10012238947
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Recursive lower and dual upper bounds for Bermudan-style options
Ibáñez, Alfredo; Velasco, Carlos - In: European journal of operational research : EJOR 280 (2020) 2, pp. 730-740
Persistent link: https://www.econbiz.de/10012132467
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Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
Li, Chenxu; Wu, Linjia - In: European journal of operational research : EJOR 275 (2019) 2, pp. 768-779
Persistent link: https://www.econbiz.de/10011993586
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Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk; Kwok, Yue-Kuen - In: European journal of operational research : EJOR 314 (2024) 1, pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
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Continuous (s, S) policy with MMPP correlated demand
Nasr, Walid W.; Maddah, Bacel - In: European journal of operational research : EJOR 246 (2015) 3, pp. 874-885
Persistent link: https://www.econbiz.de/10011344406