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General lattice methods for arithmetic Asian options
Gambaro, Anna Maria; Kyriakou, Ioannis; Fusai, Gianluca - In: European journal of operational research : EJOR 282 (2020) 3, pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
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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
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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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Medium range optimization of copper extraction planning under uncertainty in future copper prices
Alonso-Ayuso, Antonio; Carvallo, Felipe; Escudero, … - In: European journal of operational research : EJOR 233 (2014) 3, pp. 711-726
Persistent link: https://www.econbiz.de/10010228195
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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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Third-order extensions of Lo's semiparametric bound for European call options
Zuluaga, Luis F.; Peña, Javier; Du, Donglei - In: European journal of operational research : EJOR 198 (2009) 2, pp. 557-570
Persistent link: https://www.econbiz.de/10003852612
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The pricing and optimal strategies of callable warrants
Yagi, Kyoko; Sawaki, Katsushige - In: European journal of operational research : EJOR 206 (2010) 1, pp. 123-130
Persistent link: https://www.econbiz.de/10003968462
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A simple model of deferred callability in defaultable debt
Mjøs, Aksel; Persson, Svein-Arne - In: European journal of operational research : EJOR 207 (2010) 3, pp. 1350-1357
Persistent link: https://www.econbiz.de/10008702254
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Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
Peña, Javier; Vera, Juan C.; Zuluaga, Luis F. - In: European journal of operational research : EJOR 222 (2012) 2, pp. 369-376
Persistent link: https://www.econbiz.de/10009570402
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Pricing exotic derivatives exploiting structure
Sesana, Debora; Marazzina, Daniele; Fusai, Gianluca - In: European journal of operational research : EJOR 236 (2014) 1, pp. 369-381
Persistent link: https://www.econbiz.de/10010361703