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A general endogenous grid method for multi-dimensional models with non-convexities and constraints
Druedahl, Jeppe; Jørgensen, Thomas H. - In: Journal of economic dynamics & control 74 (2017), pp. 87-107
Persistent link: https://www.econbiz.de/10011740487
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Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle; Marzouk, Oussama - In: Journal of economic dynamics & control 88 (2018), pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
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A dynamic programming approach for pricing options embedded in bonds
Ben-Ameur, Hatem; Breton, Michèle; Karoui, Lotfi; … - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2212-2233
Persistent link: https://www.econbiz.de/10003485019
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Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime; Kijima, Masaaki - In: Journal of economic dynamics & control 31 (2007) 11, pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563
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Dynamic models for fixed-income portfolio management under uncertainty
Zenios, Stauros Andrea (contributor) - In: Journal of economic dynamics & control 22 (1998) 10, pp. 1517-1541
Persistent link: https://www.econbiz.de/10001246825
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An eigenvalue method of undetermined coefficients for solving linear rational expectations models
Zadrozny, Peter A. - In: Journal of economic dynamics & control 22 (1998) 8, pp. 1353-1373
Persistent link: https://www.econbiz.de/10001250758
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Explicit investment rules with time-to-build and uncertainty
Aïd, René; Federico, Salvatore; Pham, Huyên; … - In: Journal of economic dynamics & control 51 (2015), pp. 240-256
Persistent link: https://www.econbiz.de/10011474400
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Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Oliva, Immacolata; Renò, Roberto - In: Journal of economic dynamics & control 94 (2018), pp. 242-256
Persistent link: https://www.econbiz.de/10012004394
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Joint stochastic dynamic pricing and advertising with time-dependent demand
Schlosser, Rainer - In: Journal of economic dynamics & control 73 (2016), pp. 439-452
Persistent link: https://www.econbiz.de/10011709118
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On-line portfolio selection using stochastic programming
Gaivoronski, Alexei A.; Stella, Fabio - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1013-1043
Persistent link: https://www.econbiz.de/10001734477