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Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Mathematics of operations research 35 (2010) 2, pp. 412-437
Persistent link: https://www.econbiz.de/10003985724
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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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Dynamic portfolio choice when risk is measured by weighted VaR
He, Xue Dong; Jin, Hanqing; Zhou, Xun Yu - In: Mathematics of operations research 40 (2015) 3, pp. 773-796
Persistent link: https://www.econbiz.de/10011338687
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Truthful generalized assignments via stable matching
Chen, Ning; Gravin, Nick; Lu, Pinyan - In: Mathematics of operations research 39 (2014) 3, pp. 722-736
Persistent link: https://www.econbiz.de/10010402960
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Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options
Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Mathematics of operations research 35 (2010) 2, pp. 412-438
Persistent link: https://www.econbiz.de/10008420821
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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/10010162456