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Timing portfolio strategies with exponential Lévy processes

Lozza, Sergio Ortobelli; Angelelli, Enrico; Ndoci, Alda - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 97-127

Persistent link: https://www.econbiz.de/10011993426

Skewed Lévy models and implied volatility skew

Olivera, Federico de; Barbachan, José Santiago Fajardo; … - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011854458

Multivariate option pricing models with Lévy and Sato VG marginal processes

Guillaume, Florence - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10011854500

Approximate pricing of call options on the quadratic variation in Lévy models

Jahncke, Giso; Kallsen, Jan - In: Advanced modelling in mathematical finance : in honour …, (pp. 241-256). 2016

Persistent link: https://www.econbiz.de/10011800371

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

Persistent link: https://www.econbiz.de/10011800392

Performance evaluation of a merge supply system with a distribution centre, two reliable suppliers, one buffer and Erlang lead times

Vιdalis, Michael; Koukoumialos, Stelios; Ntio, Despoina; … - In: The international journal of business science & applied … 7 (2012) 3, pp. 42-55

In this work a two echelon merge supply chain is examined. Specifically, two non identical reliable suppliers feed a distribution centre with a shared buffer. The first echelon consists of the distribution centre and the shared buffer, the second echelon includes two non identical reliable...

Persistent link: https://www.econbiz.de/10011896024

A general approximation method for optimal stopping and random delay

Chen, Pengzhan; Song, Yingda - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 5-35

Persistent link: https://www.econbiz.de/10014471139