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Reindorp, Matthew J.; Fu, Michael C. - In: European Journal of Operational Research 214 (2011) 1, pp. 109-117

We consider the timing of replacement of obsolete subsystems within an extensive, complex infrastructure. Such replacement action, known as capital renewal, must balance uncertainty about future profitability against uncertainty about future renewal costs. Treating renewal investments as real...

Persistent link: https://www.econbiz.de/10009146074

Optimal importance sampling in securities pricing

Su, Yi; Fu, Michael - In: The journal of computational finance 5 (2002) 4, pp. 27-50

Persistent link: https://www.econbiz.de/10001695832

On the Recoverability of Choice Behaviors with Random Coefficients Choice Models in the Context of Limited Data and Unobserved Effects

Fu, Michael C.; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 54 (2008) 1, pp. 83-100

Persistent link: https://www.econbiz.de/10008345048

What you should know about simulation and derivatives

Fu, Michael C. - In: Naval research logistics : an international journal 55 (2008) 8, pp. 723-736

Persistent link: https://www.econbiz.de/10008145597

Optimization for Simulation: Theory vs. Practice

Fu, Michael C. - In: INFORMS journal on computing : JOC 14 (2002) 3, pp. 192-215

Persistent link: https://www.econbiz.de/10007108530

A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives

Wang, Yongqiang; Fu, Michael C.; Marcus, Steven I. - In: Operations research : the journal of the Operations … 60 (2012) 2, pp. 447-461

Persistent link: https://www.econbiz.de/10009973778

Capital renewal as a real option

Reindorp, Matthew J.; Fu, Michael C. - In: European journal of operational research : EJOR 214 (2011) 1, pp. 109-118

Persistent link: https://www.econbiz.de/10009133500

Dynamic sample budget allocation in model-based optimization

Hu, Jiaqiao; Chang, Hyeong Soo; Fu, Michael C.; Marcus, … - In: Journal of global optimization : an international … 50 (2011) 4, pp. 575-597

Persistent link: https://www.econbiz.de/10009181326

Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods

Fu, Michael; Madan, Dilip B.; Wang, Tong - In: The journal of computational finance 2 (1998/1999) 2, pp. 49-74

Persistent link: https://www.econbiz.de/10001633397

Conditional Monte Carlo estimation of quantile sensitivities

Fu, Michael; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 2019-2027

Persistent link: https://www.econbiz.de/10003928512