Similar Search Results

Inventory control for spectrally positive Lévy demand processes

Yamazaki, Kazutoshi - In: Mathematics of operations research 42 (2017) 1, pp. 212-237

Persistent link: https://www.econbiz.de/10011654629

Brownian meanders, importance sampling and unbiased simulation of diffusion extremes

Chen, Nan; Huang, Zhengyu - In: Operations research letters 40 (2012) 6, pp. 554-563

Persistent link: https://www.econbiz.de/10009717283

American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach

Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632

Persistent link: https://www.econbiz.de/10010381847

Localization and exact simulation of Brownian motion-driven stochastic differential equations

Chen, Nan; Huang, Zhengyu - In: Mathematics of operations research 38 (2013) 3, pp. 591-616

Persistent link: https://www.econbiz.de/10009787357

Approximate arbitrage-free option pricing under the SABR model

Yang, Nian; Chen, Nan; Liu, Yanchu; Wan, Xiangwei - In: Journal of economic dynamics & control 83 (2017), pp. 198-214

Persistent link: https://www.econbiz.de/10011915586

The principle of not feeling the boundary for the SABR model

Chen, Nan; Yang, Nian - In: Quantitative finance 19 (2019) 3, pp. 427-436

Persistent link: https://www.econbiz.de/10012194662

Optimal dividends in the dual model under transaction costs

Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 54 (2014), pp. 133-143

Persistent link: https://www.econbiz.de/10010259658

Optimal capital structure with scale effects under spectrally negative Lévy models

Surya, Budhi Arta; Yamazaki, Kazutoshi - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10010363903

An analytic recursive method for optimal multiple stopping : Canadization and phase-type fitting

Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-31

Persistent link: https://www.econbiz.de/10011403875

On the Refracted-Reflected Spectrally Negative Levy Processes

Pérez, José-Luis - 2019

We study a combination of the refracted and reflected Levy processes. Given a spectrally negative Levy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a constant rate is subtracted from the increments of the...

Persistent link: https://www.econbiz.de/10012870483