In this paper, we investigate static super-replicating strategies for European-type call options written on a weighted sum of asset prices. This class of exotic options includes Asian options and basket options among others. We assume that there exists a market where the plain vanilla options on...

This paper first provides some useful results on a generalized random coefficient autoregressive model and a Markov plus i.i.d. noise model. These results simultaneously imply strict staionarity, existence of higher-order moments, goemetric ergodicity and b-mixing with exponential decay rates,...

Greenhouse gas (GHG) concentrations are expected to continue to rise due to the ever-increasing use of fossil fuels and ever-boosting demand for energy. This leads to inevitable conflict between satisfying increasing energy demand and reducing GHG emissions. In this study, an integrated...

In this study, a two-stage inexact-stochastic programming (TISP) method is developed for planning carbon dioxide (CO2) emission trading under uncertainty. The developed TISP incorporates techniques of interval-parameter programming (IPP) and two-stage stochastic programming (TSP) within a...

In this study, an inexact fuzzy-stochastic energy model (IFS-EM) is developed for planning energy and environmental systems (EES) management under multiple uncertainties. In the IFS-EM, methods of interval parameter fuzzy linear programming (IFLP) and multistage stochastic programming with...

In this study, an interval-valued minimax regret analysis (IMRA) method is proposed for planning greenhouse gas (GHG) abatement under uncertainty. The IMRA method is a hybrid of interval-parameter programming (IPP) and minimax regret analysis (MMR) techniques. The developed method is applied to...

An integrated optimization method is developed for supporting agriculture water management and planning in Tarim River Basin, Northwest China. The developed method couples two-stage stochastic programming (TSP) with inexact quadratic program (IQP). The hydrological model is provided for...