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The profitability of small horizontal mergers with nonlinear demand functions
Esfahani, Hamideh; Lambertini, Luca - In: Operations research letters 40 (2012) 5, pp. 370-373
Persistent link: https://www.econbiz.de/10009613801
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Pricing double-barrier options under a flexible jump diffusion model
Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Operations research letters 37 (2009) 3, pp. 163-167
Persistent link: https://www.econbiz.de/10003903887
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Revisit of stochastic mesh method for pricing American options
Liu, Guangwu; Hong, L. Jeff - In: Operations research letters 37 (2009) 6, pp. 411-414
Persistent link: https://www.econbiz.de/10003905573
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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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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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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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Valuing American options under the CEV model by Laplace-Carson transforms
Wong, Hoi Ying; Zhao, Jing - In: Operations research letters 38 (2010) 5, pp. 474-481
Persistent link: https://www.econbiz.de/10008658768
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An analytic valuation method for multivariate contingent claims with regime-switching volatilities
Yoon, Ji Hee; Jang, Bong-gyu; Roh, Kum-hwan - In: Operations research letters 39 (2011) 3, pp. 180-187
Persistent link: https://www.econbiz.de/10009160239
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A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
Joshu, Mark S. - In: Operations research letters 43 (2015) 6, pp. 581-585
Persistent link: https://www.econbiz.de/10011416308
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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