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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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Partial stochastic dominance via optimal transport
Kamihigashi, Takashi; Stachurski, John - In: Operations research letters 48 (2020) 5, pp. 584-586
Persistent link: https://www.econbiz.de/10012303414
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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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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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A closed-form expansion approach for pricing discretely monitored variance swaps
Li, Chenxu; Li, Xiaocheng - In: Operations research letters 43 (2015) 4, pp. 450-455
Persistent link: https://www.econbiz.de/10011372393
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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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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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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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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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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