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Operations research letters
European journal of operational research : EJOR
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ECONIS (ZBW)
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1
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Fonseca, José da
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Operations research letters
43
(
2015
)
6
,
pp. 601-607
Persistent link: https://www.econbiz.de/10011416324
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2
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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3
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin
;
Xu, Chenglong
;
Fu, Michael
- In:
Operations research letters
44
(
2016
)
1
,
pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
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4
The pricing of basket options : a weak convergence approach
Bo, Lijun
;
Wang, Yongjin
- In:
Operations research letters
45
(
2017
)
2
,
pp. 119-125
Persistent link: https://www.econbiz.de/10011687623
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5
An improved averaged two-replication procedure with Latin hypercube sampling
Bayraksan, Güzin
- In:
Operations research letters
46
(
2018
)
2
,
pp. 173-178
Persistent link: https://www.econbiz.de/10011824808
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6
A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue
Sarhangian, Vahid
;
Balcıog˜lu, Barış
- In:
Operations research letters
41
(
2013
)
6
,
pp. 659-663
Persistent link: https://www.econbiz.de/10010236055
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7
Pricing American options when asset prices jump
Chockalingam, Arunachalam
;
Muthuraman, Kumar
- In:
Operations research letters
38
(
2010
)
2
,
pp. 82-86
Persistent link: https://www.econbiz.de/10003961602
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8
Forest of stochastic meshes : a new method for valuing high-dimensional swing options
Marshall, T. J.
;
Reesor, R. Mark
- In:
Operations research letters
39
(
2011
)
1
,
pp. 17-21
Persistent link: https://www.econbiz.de/10008856904
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9
Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei
;
Mendoza-Arriaga, Rafael
- In:
Operations research letters
41
(
2013
)
5
,
pp. 521-525
Persistent link: https://www.econbiz.de/10010191968
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10
On the complexity of the single machine scheduling problem minimizing total weighted delay penalty
Vásquez, Óscar C.
- In:
Operations research letters
42
(
2014
)
5
,
pp. 343-347
Persistent link: https://www.econbiz.de/10010404393
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