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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
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Dividend optimization for jump-diffusion model with solvency constraints
Li, Yongwu; Li, Zhongfei; Wang, Shouyang; Xu, Zuo Quan - In: Operations research letters 48 (2020) 2, pp. 170-175
Persistent link: https://www.econbiz.de/10012254035
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Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
Chiu, Mei Choi; Lo, Yu Wai; Wong, Hoi Ying - In: Operations research letters 39 (2011) 4, pp. 289-295
Persistent link: https://www.econbiz.de/10009295639
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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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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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Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan; Zeng, Pingping; Kwok, Yue-Kuen - In: Operations research letters 51 (2023) 6, pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
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Asymptotics for the survival probability of time-inhomogeneous diffusion processes
Wang, Yimei; Yang, Nian - In: Operations research letters 51 (2023) 3, pp. 308-311
Persistent link: https://www.econbiz.de/10014374890
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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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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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The use of power numeraires in option pricing
Joshi, Mark - In: Operations research letters 45 (2017) 2, pp. 133-138
Persistent link: https://www.econbiz.de/10011687633