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Robust option pricing
Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
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Option pricing with mean reversion and stochastic volatility
Wong, Hoi Ying; Lo, Yu Wai - In: European journal of operational research : EJOR 197 (2009) 1, pp. 179-187
Persistent link: https://www.econbiz.de/10003828865
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Smiles & smirks : volatility and leverage by jumps
Ballotta, Laura; Rayée, Grégory - In: European journal of operational research : EJOR 298 (2022) 3, pp. 1145-1161
Persistent link: https://www.econbiz.de/10013206930
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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 framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania; Kyriakou, Ioannis; Marazzina, Daniele; … - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
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Nonlinearity, data-snooping, and stock index ETF return predictability
Yang, Jian; Cabrera, Juan; Wang, T'ao - In: European journal of operational research : EJOR 200 (2009/10) 2, pp. 498-507
Persistent link: https://www.econbiz.de/10003897177
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Real options approach-based demand forecasting method for a range of products with highly volatile and correlated demand
Huang, Ming-guan - In: European journal of operational research : EJOR 198 (2009) 3, pp. 867-877
Persistent link: https://www.econbiz.de/10003857921
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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
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Forecasting the volatility of crude oil futures using intraday data
Sévi, Benoît - In: European journal of operational research : EJOR 235 (2014) 3, pp. 643-659
Persistent link: https://www.econbiz.de/10010341244
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DEA models incorporating uncertain future performance
Chang, Tsung-Sheng; Tone, Kaoru; Wu, Chen-Hui - In: European journal of operational research : EJOR 254 (2016) 2, pp. 532-549
Persistent link: https://www.econbiz.de/10011508965