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A closed-form expansion approach for pricing discretely monitored variance swaps
Li, Chenxu; Li, Xiaocheng - In: Operations research letters 43 (2015) 4, pp. 450-455
Persistent link: https://www.econbiz.de/10011372393
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Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187
Persistent link: https://www.econbiz.de/10009727702
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A constructive proof of swap local search worst-case instances for the maximum coverage problem
Kerkkamp, R. B. O.; Aardal, Karen - In: Operations research letters 44 (2016) 3, pp. 329-335
Persistent link: https://www.econbiz.de/10011506058
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Adaptive serach with stochastic acceptance probabilities for global optimization
Ghate, Archis; Smith, Robert L. - In: Operations research letters 36 (2008) 3, pp. 285-290
Persistent link: https://www.econbiz.de/10003773763
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The stochastic p-median problem with unknown cost probability distribution
Tadei, Roberto; Ricciardi, Nicoletta; Perboli, Guido - In: Operations research letters 37 (2009) 2, pp. 135-141
Persistent link: https://www.econbiz.de/10003883222
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Augmented truncation approximations of discrete-time Markov chains
Liu, Yuanyuan - In: Operations research letters 38 (2010) 3, pp. 218-222
Persistent link: https://www.econbiz.de/10003968665
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Easy distributions for combinatorial optimization problems with probabilistic constraints
Fortz, Bernard; Poss, Michael - In: Operations research letters 38 (2010) 6, pp. 545-549
Persistent link: https://www.econbiz.de/10008738530
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On joint probabilistic constraints with Gaussian coefficient matrix
Ackooij, Wim van; Henrion, René; Möller, A.; Zorgati, R. - In: Operations research letters 39 (2011) 2, pp. 99-102
Persistent link: https://www.econbiz.de/10009010690
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Uniform quasi-concavity in probabilistic constrained stochastic programming
Prékopa, András; Yoda, Kunikazu; Subasi, Munevver Mine - In: Operations research letters 39 (2011) 3, pp. 188-192
Persistent link: https://www.econbiz.de/10009160238
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Heavy-traffic asymptotics for stationary GI/G/1-type Markov chains
Kimura, Tatsuaki; Masuyama, Hiroyuki; Takahashi, Yutaka - In: Operations research letters 40 (2012) 3, pp. 185-189
Persistent link: https://www.econbiz.de/10009546522