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Closed-form solution to a real option problem with regime switching
Nishihara, Michi - In: Operations research letters 48 (2020) 6, pp. 703-707
Persistent link: https://www.econbiz.de/10012430068
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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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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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Funding, repo and credit inclusive valuation as modified option pricing
Brigo, Damiano; Buescu, C.; Rutkowski, Marek - In: Operations research letters 45 (2017) 6, pp. 665-670
Persistent link: https://www.econbiz.de/10011783094
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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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Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
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Data-driven hedging of stock index options via deep learning
Chen, Jie; Li, Lingfei - In: Operations research letters 51 (2023) 4, pp. 408-413
Persistent link: https://www.econbiz.de/10014426577
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Quadratic hedging for sequential claims with random weights in discrete time
Deng, Jun; Zou, Bin - In: Operations research letters 49 (2021) 2, pp. 218-225
Persistent link: https://www.econbiz.de/10012506620
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On polynomial cases of the unichain classification problem for Markov Decision Processes
Feinberg, Eugene A.; Yang, Fenghsu - In: Operations research letters 36 (2008) 5, pp. 527-530
Persistent link: https://www.econbiz.de/10003786748
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A note on negative dynamic programming for risk-sensitive control
Jaśkiewicz, Anna - In: Operations research letters 36 (2008) 5, pp. 531-534
Persistent link: https://www.econbiz.de/10003786750