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Option pricing under jump-diffusion models with mean-reverting bivariate jumps
Miao, Daniel Wei-chung; Lin, Xenos Chang-shuo; Chao, … - In: Operations research letters 42 (2014) 1, pp. 27-33
Persistent link: https://www.econbiz.de/10010259274
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Optimal uncertainty size in distributionally robust inverse covariance estimation
Blanchet, Jose; Si, Nian - In: Operations research letters 47 (2019) 6, pp. 618-621
Persistent link: https://www.econbiz.de/10012131899
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The stochastic p-median problem with unknown cost probability distribution
Tadei, Roberto; Ricciardi, Nicoletta; Perboli, Guido - In: Operations research letters 37 (2009) 2, pp. 135-141
Persistent link: https://www.econbiz.de/10003883222
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Decomposition methods for Wasserstein-based data-driven distributionally robust problems
Cano Gamboa, Carlos Andrés; Valladão, Davi Michel; … - In: Operations research letters 49 (2021) 5, pp. 696-702
Persistent link: https://www.econbiz.de/10013207430
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Tractable reformulations of two-stage distributionally robust linear programs over the type-∞ Wasserstein ball
Xie, Weijun - In: Operations research letters 48 (2020) 4, pp. 513-523
Persistent link: https://www.econbiz.de/10012294820
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Stochastic comparison of parallel systems with log-Lindley distributed components
Chowdhury, Shovan; Kundu, Amarjit - In: Operations research letters 45 (2017) 3, pp. 199-205
Persistent link: https://www.econbiz.de/10011719275
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On stochastic comparisons of series systems with heterogeneous dependent and independent location-scale family distributed components
Kundu, Amarjit; Chowdhury, Shovan - In: Operations research letters 48 (2020) 1, pp. 40-47
Persistent link: https://www.econbiz.de/10012169593
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Stochastic comparisons on two finite mixture models
Amini-Seresht, Ebrahim; Zhang, Yiying - In: Operations research letters 45 (2017) 5, pp. 475-480
Persistent link: https://www.econbiz.de/10011774693
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On complexity of multistage stochastic programs under heavy tailed distributions
Jiang, Jie; Li, Shengjie - In: Operations research letters 49 (2021) 2, pp. 265-269
Persistent link: https://www.econbiz.de/10012506664
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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