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Black-Scholes Versus Artificial Neural Networks in Pricing Ftse 100 Options

Bennell, Julia A. - 2004

This paper compares the performance of Black-Scholes with an artificial neural network (ANN) in pricing European style call options on the FTSE 100 index. It is the first extensive study of the performance of ANNs in pricing UK options, and the first to allow for dividends in the closed-form...

Persistent link: https://www.econbiz.de/10012738284

The geometry of nesting problems: A tutorial

Bennell, Julia A.; Oliveira, Jose F. - In: European Journal of Operational Research 184 (2008) 2, pp. 397-415

Persistent link: https://www.econbiz.de/10005257077

Hybridising Tabu Search with Optimisation Techniques for irregular Stock Cutting

Bennell, Julia A.; Dowsland, Kathryn A. - In: Management science : journal of the Institute for … 47 (2001) 8, pp. 1160

Persistent link: https://www.econbiz.de/10006089949

A tabu search heuristic for ship routing and scheduling with flexible cargo quantities

Bennell, Julia A.; Song, Xiang - In: Journal of heuristics 16 (2010) 2, pp. 117-138

Persistent link: https://www.econbiz.de/10008389623

The geometry of nesting problems: A tutorial

Bennell, Julia A.; Oliveira, Jose F. - In: European journal of operational research : EJOR 184 (2008) 2, pp. 397-415

Persistent link: https://www.econbiz.de/10007895653

Airport runway scheduling

Bennell, Julia A.; Mesgarpour, Mohammad; Potts, Chris N. - 2013

Persistent link: https://www.econbiz.de/10010093398

Construction heuristics for two-dimensional irregular shape bin packing with guillotine constraints

Han, Wei; Bennell, Julia A.; Zhao, Xiaozhou; Song, Xiang - In: European journal of operational research : EJOR 230 (2013) 3, pp. 495-504

Persistent link: https://www.econbiz.de/10010140294

Cutting and packing

Bennell, Julia A.; Oliveira, José Fernando; Wäscher, … - In: International journal of production economics 145 (2013) 2, pp. 449-450

Persistent link: https://www.econbiz.de/10010171784

A genetic algorithm for two-dimensional bin packing with due dates

Bennell, Julia A.; Soon Lee, Lai; Potts, Chris N. - In: International journal of production economics 145 (2013) 2, pp. 547-560

Persistent link: https://www.econbiz.de/10010171793

Airport runway scheduling

Bennell, Julia A.; Mesgarpour, Mohammad; Potts, Chris N. - In: 4OR : quarterly journal of the Belgian, French and … 9 (2011) 2, pp. 115-139

Persistent link: https://www.econbiz.de/10009017287