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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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Consistent modeling of VIX and equity derivatives using a 3, 2 plus jumps model
Baldeaux, Jan; Badran, Alexander - 2012
Persistent link: https://www.econbiz.de/10009564457
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An algorithm for computing values of options on the maximum or minimum of several assets
Boyle, Phelim P. - In: Journal of financial and quantitative analysis : JFQA 25 (1990) 2, pp. 215-227
Persistent link: https://www.econbiz.de/10001089783
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On stochastic dominance and decreasing absolute risk averse option pricing bounds
Ritchken, Peter H. - In: Management science : journal of the Institute for … 35 (1989) 1, pp. 51-59
Persistent link: https://www.econbiz.de/10001066766
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A lattice framework for option pricing with two state variables
Boyle, Phelim P. - In: Journal of financial and quantitative analysis : JFQA 23 (1988) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10001047159
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Asset liability management and duration matching using financial futures : a mathematical programming approach
Dandapani, Krishnan - In: The review of research in banking and finance : a … 4 (1988) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001100661
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Option bounds in discrete time and the pricing of corporate debt
Perrakis, Stylianos - In: Advances in futures and options research : a research annual 2 (1987), pp. 179-207
Persistent link: https://www.econbiz.de/10001081779
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Second-order sensitivity analysis for parametric equilibrium problems in set-valued optimization
Nguyễn Lê Hoàng Anh - In: RAIRO / Operations research 53 (2019) 4, pp. 1245-1260
Persistent link: https://www.econbiz.de/10012118978
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New optimality conditions for unconstrained vector equilibrium problem in terms of contingent derivatives in Banach spaces
Tran Van Su - In: 4OR : a quarterly journal of operations research 16 (2018) 2, pp. 173-198
Persistent link: https://www.econbiz.de/10011874296
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Optimality conditions of type KKT for optimization problem with interval-valued objective function via generalized derivative
Chalco-Cano, Y.; Lodwick, W. A.; Rufian-Lizana, A. - In: Fuzzy optimization and decision making : a journal of … 12 (2013) 3, pp. 305-322
Persistent link: https://www.econbiz.de/10010232686