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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 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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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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Asymptotic analysis of option pricing in a Markov modulated market
Basu, Arnab; Ghosh, Mrinal K. - In: Operations research letters 37 (2009) 6, pp. 415-419
Persistent link: https://www.econbiz.de/10003905576
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Stationary distribution of a multi-server vacation queue with constant impatient times
Sakuma, Yutaka; Inoie, Atsushi - In: Operations research letters 40 (2012) 4, pp. 239-243
Persistent link: https://www.econbiz.de/10009558953
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On discounted approximations of undiscounted stochastic games and Markov decison processes with limited randomness
Boros, Endre; Elbassioni, Khaled; Gurvich, Vladimir; … - In: Operations research letters 41 (2013) 4, pp. 357-362
Persistent link: https://www.econbiz.de/10009772783
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Discrete choice models based on random walks
Berbeglia, Gerardo - In: Operations research letters 44 (2016) 2, pp. 234-237
Persistent link: https://www.econbiz.de/10011457342
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Robust response-guided dosing
Sinha, Saumya; Kotas, Jakob; Ghate, Archis - In: Operations research letters 44 (2016) 3, pp. 394-399
Persistent link: https://www.econbiz.de/10011506161
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Average stochastic games for continuous-time jump processes
Wei, Qingda; Chen, Xian - In: Operations research letters 49 (2021) 1, pp. 84-90
Persistent link: https://www.econbiz.de/10012486232
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Diffusion limits for the (MAPt/Pht/∞)N queueing network
Ko, Young Myoung; Pender, Jamol - In: Operations research letters 45 (2017) 3, pp. 248-253
Persistent link: https://www.econbiz.de/10011719323