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Confidence intervals in group sequential trials with random group sizes and applications to survival analysis

Lai, Tze Leung; Li, Wenzhi - In: Biometrika 93 (2006) 3, pp. 641-654

A new ordering scheme for defining quantiles of the multivariate distribution of a stopping time and a stopped stochastic process is introduced. This ordering scheme is used in conjunction with resampling methods to construct confidence intervals for a population mean following a group...

Persistent link: https://www.econbiz.de/10005569449

Exercise Regions And Efficient Valuation Of American Lookback Options

Lai, Tze Leung; Lim, Tiong Wee - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 249-270

Persistent link: https://www.econbiz.de/10008214817

Random walk duality and the valuation of discrete lookback options

Aitsahlia, Farid; Lai, Tze Leung - In: Applied mathematical finance 5 (1998) 3-4, pp. 227-240

Persistent link: https://www.econbiz.de/10008218751

NOTES AND COMMENTS: - Incomplete Learning from Endogenous Data in Dynamic Allocation

Brezzi, Monica; Lai, Tze Leung - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 6, pp. 1511-1516

Persistent link: https://www.econbiz.de/10006777421

Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk

Deng, Shaojie; Giesecke, Kay; Lai, Tze Leung - In: Operations research : the journal of the Operations … 60 (2012) 1, pp. 78-92

Persistent link: https://www.econbiz.de/10009845460

Option hedging theory under transaction costs

Lai, Tze Leung; Lim, Tiong Wee - In: Journal of economic dynamics & control 33 (2009) 12, pp. 1945-1961

Persistent link: https://www.econbiz.de/10008317158

Approximate Policy Optimization and Adaptive Control in Regression Models

Han, Jiarui; Lai, Tze Leung; Spivakovsky, Viktor - In: Computational economics 27 (2006) 4, pp. 433-452

Persistent link: https://www.econbiz.de/10007267718

Option hedging theory under transaction costs

Lai, Tze Leung; Lim, Tiong Wee - In: Journal of economic dynamics & control 33 (2009) 12, pp. 1945-1962

Persistent link: https://www.econbiz.de/10008895075

Optimal learning and experimentation in bandit problems

Brezzi, Monica; Lai, Tze Leung - In: Journal of economic dynamics & control 27 (2002) 1, pp. 87-108

Persistent link: https://www.econbiz.de/10001703370

Optimal learning and experimentation in bandit problems

Brezzi, Monica; Lai, Tze Leung - In: Journal of economic dynamics & control 27 (2003) 1, pp. 87-108

Persistent link: https://www.econbiz.de/10006764616