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Li, Lingfei
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Linetsky, Vadim
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Lim, Dongjae
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Mendoza-Arriaga, Rafael
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Journal of economic dynamics & control
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Operations research : the journal of the Operations Research Society of America
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OLC EcoSci
ECONIS (ZBW)
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Evaluating callable and putable bonds: An eigenfunction expansion approach
Lim, Dongjae
;
Li, Lingfei
;
Linetsky, Vadim
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1888-1909
Persistent link: https://www.econbiz.de/10010021635
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Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
Li, Lingfei
;
Linetsky, Vadim
- In:
Operations research : the journal of the Operations …
61
(
2013
)
3
,
pp. 625-643
Persistent link: https://www.econbiz.de/10010139056
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3
Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei
;
Mendoza-Arriaga, Rafael
- In:
Operations research letters
41
(
2013
)
5
,
pp. 521-525
Persistent link: https://www.econbiz.de/10010175170
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