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On infinite horizon optimal stopping of general random walk
Lempa, Jukka - In: Mathematical methods of operations research 67 (2008) 2, pp. 257-268
Persistent link: https://www.econbiz.de/10003681402
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Optimal portfolio strategies benchmarking the stock market
Gabih, Abdelali; Grecksch, Wilfried; Richter, Matthias; … - In: Mathematical methods of operations research 64 (2006) 2, pp. 211-225
Persistent link: https://www.econbiz.de/10003380210
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Discrete-time delta hedging and the Black-Scholes model with transaction costs
Mastinšek, Miklavž - In: Mathematical methods of operations research 64 (2006) 2, pp. 227-236
Persistent link: https://www.econbiz.de/10003380212
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Asymptotic pricing in large financial markets
Baran, Michał - In: Mathematical methods of operations research 66 (2007) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10003526203
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Risk averse asymptotics in a Black-Scholes market on a finite time horizon
Grandits, Peter; Thonhauser, Stefan - In: Mathematical methods of operations research 74 (2011) 1, pp. 21-40
Persistent link: https://www.econbiz.de/10009270440
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Robust static hedging of barrier options in stochastic volatility models
Maruhn, Jan H.; Sachs, Ekkehard - In: Mathematical methods of operations research 70 (2009) 3, pp. 405-433
Persistent link: https://www.econbiz.de/10003909254
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Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Bayraktar, Erhan; Xing, Hao - In: Mathematical methods of operations research 70 (2009) 3, pp. 505-525
Persistent link: https://www.econbiz.de/10003909291
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A dual approach to multiple exercise option problems under constraints
Aleksandrov, N.; Hambly, Ben - In: Mathematical methods of operations research 71 (2010) 3, pp. 503-533
Persistent link: https://www.econbiz.de/10003990392
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The relative entropy in CGMY processes and its applications to finance
Kim, Young Shin; Lee, Jeong Hyun - In: Mathematical methods of operations research 66 (2007) 2, pp. 327-338
Persistent link: https://www.econbiz.de/10003564151
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Black swans and white eagles : on mathematics and finance
Focardi, Sergio; Fabozzi, Frank J. - In: Mathematical methods of operations research 69 (2009) 3, pp. 379-394
Persistent link: https://www.econbiz.de/10003858250