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1
American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan
;
Liu, Yanchu
- In:
Operations research
62
(
2014
)
3
,
pp. 616-632
Persistent link: https://www.econbiz.de/10010381847
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2
Risk-averse stochastic programming : time consistency and optimal stopping
Pichler, Alois
;
Liu, Rui Peng
;
Shapiro, Alexander
- In:
Operations research
70
(
2022
)
4
,
pp. 2439-2455
Persistent link: https://www.econbiz.de/10013366477
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3
A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Wang, Yongqiang
;
Fu, Michael
;
Marcus, Steven I.
- In:
Operations research
60
(
2012
)
2
,
pp. 447-460
Persistent link: https://www.econbiz.de/10009554759
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4
Pricing Asian options under a hyper-exponential jump diffusion model
Cai, Ning
;
Kou, Steven
- In:
Operations research
60
(
2012
)
1
,
pp. 64-77
Persistent link: https://www.econbiz.de/10009532669
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5
Market-consistent modeling for cap-and-trade schemes and application to option pricing
Barrieu, Pauline
;
Fehr, Max
- In:
Operations research
62
(
2014
)
2
,
pp. 234-249
Persistent link: https://www.econbiz.de/10010361477
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6
Simulation of tempered stable Lévy bridges and its applications
Kim, Kyoung-Kuk
;
Kim, Sojung
- In:
Operations research
64
(
2016
)
2
,
pp. 495-509
Persistent link: https://www.econbiz.de/10011485601
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7
Regime classification and stock loan valuation
Cai, Ning
;
Zhang, Wei
- In:
Operations research
68
(
2020
)
4
,
pp. 965-983
Persistent link: https://www.econbiz.de/10012288340
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8
Risk arbitrage opportunities for stock index options
Post, Thierry
;
Rodríguez Longarela, Iñaki
- In:
Operations research
69
(
2021
)
1
,
pp. 100-113
Persistent link: https://www.econbiz.de/10012523428
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9
Options portfolio selection
Guasoni, Paolo
;
Mayerhofer, Eberhard
- In:
Operations research
68
(
2020
)
3
,
pp. 733-740
Persistent link: https://www.econbiz.de/10012234441
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10
A nonparametric algorithm for optimal stopping based on robust optimization
Sturt, Bradley
- In:
Operations research
71
(
2023
)
5
,
pp. 1530-1557
Persistent link: https://www.econbiz.de/10014393150
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