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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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A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro; Takahashi, Akihiko - In: European journal of operational research : EJOR 258 (2017) 1, pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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Degradation-based maintenance decision using stochastic filtering for systems under imperfect maintenance
Zhang, Mimi; Gaudoin, Olivier; Xie, Min - In: European journal of operational research : EJOR 245 (2015) 2, pp. 531-541
Persistent link: https://www.econbiz.de/10011308973
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Hidden Markov model for municipal waste generation forecasting under uncertainties
Jiang, P.; Liu, X. - In: European journal of operational research : EJOR 250 (2016) 2, pp. 639-651
Persistent link: https://www.econbiz.de/10011441731
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An empirical analysis of scenario generation methods for stochastic optimization
Löhndorf, Nils - In: European journal of operational research : EJOR 255 (2016) 1, pp. 121-132
Persistent link: https://www.econbiz.de/10011530843
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Stochastic frontier models with time-varying conditional variances
Tsionas, Efthymios G.; Kumbhakar, Subal - In: European journal of operational research : EJOR 292 (2021) 3, pp. 1115-1132
Persistent link: https://www.econbiz.de/10012502428
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Importance sampling in stochastic optimization : an application to intertemporal portfolio choice
Ekblom, J.; Blomvall, J. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 106-119
Persistent link: https://www.econbiz.de/10012239487
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A stochastic programming model with endogenous uncertainty for incentivizing fuel reduction treatment under uncertain landowner behavior
Bhuiyan, Tanveer Hossain; Moseley, Maxwell C.; Medal, … - In: European journal of operational research : EJOR 277 (2019) 2, pp. 699-718
Persistent link: https://www.econbiz.de/10012022120
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Expected residual minimization formulation for a class of stochastic linear second-order cone complementarity problems
Wang, Guoxin; Zhang, Jin; Zeng, Bo; Lin, Gui-Hua - In: European journal of operational research : EJOR 265 (2018) 2, pp. 437-447
Persistent link: https://www.econbiz.de/10011811394
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Bayesian failure-rate modeling and preventive maintenance optimization
Belyi, Dmitriy; Popova, Elmira; Morton, David P.; … - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1085-1093
Persistent link: https://www.econbiz.de/10011802470