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European journal of operational research : EJOR
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ECONIS (ZBW)
777
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Optimal switching decisions under stochastic
volatility
with fast mean reversion
Tsekrekos, Andrianos E.
;
Yannacopoulos, Athanasios N.
- In:
European journal of operational research : EJOR
251
(
2016
)
1
,
pp. 148-157
Persistent link: https://www.econbiz.de/10011446242
Saved in:
10
An investigation of model risk in a market with jumps and stochastic
volatility
Coqueret, Guillaume
- In:
European journal of operational research : EJOR
253
(
2016
)
3
,
pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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