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Income drawdown option with minimum guarantee

Di Giacinto, Marina; Federico, Salvatore; Gozzi, Fausto; … - In: European journal of operational research : EJOR 234 (2014) 3, pp. 610-624

Persistent link: https://www.econbiz.de/10010360497

Swing options in commodity markets : a multidimensional Lévy diffusion model

Eriksson, Marcus; Lempa, Jukka; Nilssen, Trygve Kastberg - In: Mathematical methods of operations research 79 (2014) 1, pp. 31-67

Persistent link: https://www.econbiz.de/10010347962

Lösung komplexer Optionsbewertungsprobleme mittels stochastischer Simulation und dynamischer Programmierung

Mußhoff, Oliver; Hirschauer, Norbert - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 33 (2004) 11, pp. 660-663

Persistent link: https://www.econbiz.de/10002401157

On solving the multirotational timber harvesting problem with stochastic prices : a linear complementarity formulation

Insley, Margaret; Rollins, Kimberly S. - In: American journal of agricultural economics 87 (2005) 3, pp. 735-755

Persistent link: https://www.econbiz.de/10003079940

Rational hedging and valuation with utility-based preferences

Becherer, Dirk (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001639701

Partial hedging in a stochastic volatility environment

Jonsson, Mattias - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 375-409

Persistent link: https://www.econbiz.de/10001741949

American options, multi-armed bandits and optimal consumption plans : a unifying view

Bank, Peter (contributor); Föllmer, Hans (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001917057

The precautionary principle in practice : how to write a call option on the environment

Hertzler, Greg - In: Risk management and the environment : agriculture in …, (pp. 29-51). 2003

Persistent link: https://www.econbiz.de/10001977748

On Solving the Multirotational Timber Harvesting Problem with Stochastic Prices : A Linear Complementarity Formulation

Insley, Margaret C.; Rollins, Kimberly - 2010

This article develops a two-factor real options model of the harvesting decision over infinite rotations assuming a known stochastic price process and using a rigorous Hamilton-Jacobi-Bellman methodology. The harvesting problem is formulated as a linear complementarity problem that is solved...

Persistent link: https://www.econbiz.de/10014061113

Risk-averse stochastic programming : time consistency and optimal stopping

Pichler, Alois; Liu, Rui Peng; Shapiro, Alexander - In: Operations research 70 (2022) 4, pp. 2439-2455

Persistent link: https://www.econbiz.de/10013366477