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Geometrically convergent simulation of the extrema of Lévy processes
González Cázares, Jorge Ignacio; Mijatović, Aleksandar; … - In: Mathematics of operations research 47 (2022) 2, pp. 1141-1168
Persistent link: https://www.econbiz.de/10013365090
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Localization and exact simulation of Brownian motion-driven stochastic differential equations
Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616
Persistent link: https://www.econbiz.de/10009787357
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Convex duality in stochastic optimization and mathematical finance
Pennanen, Teemu - In: Mathematics of operations research 36 (2011) 2, pp. 340-362
Persistent link: https://www.econbiz.de/10009162067
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On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
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Bandit problems with Lévy processes
Cohen, Asaf; Solan, Eilon - In: Mathematics of operations research 38 (2013) 1, pp. 92-107
Persistent link: https://www.econbiz.de/10009727696
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Closed-form expansion, conditional expectation, and option valuation
Li, Chenxu - In: Mathematics of operations research 39 (2014) 2, pp. 487-516
Persistent link: https://www.econbiz.de/10010384185
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General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Fusai, Gianluca; Kyriakou, Ioannis - In: Mathematics of operations research 41 (2016) 2, pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
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Sensitivity analysis for the stationary distribution of reflected brownian motion in a convex polyhedral cone
Lipshutz, David; Ramanan, Kavita - In: Mathematics of operations research 46 (2021) 2, pp. 524-558
Persistent link: https://www.econbiz.de/10012582181
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Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro; Takahashi, Akihiko - In: Mathematics of operations research 44 (2019) 1, pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
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Pathwise dynamic programming
Bender, Christian; Gärtner, Christian; Schweizer, Nikolaus - In: Mathematics of operations research 43 (2018) 3, pp. 965-995
Persistent link: https://www.econbiz.de/10011914390