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COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS
NISHIHARA, MICHI; YAGIURA, MUTSUNORI; IBARAKI, TOSHIHIDE - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 211-225
This paper derives, in closed forms, upper and lower bounds on risk-neutral cumulative distribution functions of the underlying asset price from the observed prices of European call options, based only on the no-arbitrage assumption. The computed bounds from the option price data show that the...
Persistent link: https://www.econbiz.de/10008464903
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The use of dynamic programming in genetic algorithms for permutation problems
Yagiura, Mutsunori; Ibaraki, Toshihide - In: European Journal of Operational Research 92 (1996) 2, pp. 387-401
Persistent link: https://www.econbiz.de/10005287448
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One-dimensional cutting stock problem to minimize the number of different patterns
Umetani, Shunji; Yagiura, Mutsunori; Ibaraki, Toshihide - In: European Journal of Operational Research 146 (2003) 2, pp. 388-402
Persistent link: https://www.econbiz.de/10005287664
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A 3-flip neighborhood local search for the set covering problem
Yagiura, Mutsunori; Kishida, Masahiro; Ibaraki, Toshihide - In: European Journal of Operational Research 172 (2006) 2, pp. 472-499
Persistent link: https://www.econbiz.de/10005277454
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A path relinking approach with ejection chains for the generalized assignment problem
Yagiura, Mutsunori; Ibaraki, Toshihide; Glover, Fred - In: European Journal of Operational Research 169 (2006) 2, pp. 548-569
Persistent link: https://www.econbiz.de/10005277759
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An Ejection Chain Approach for the Generalized Assignment Problem
Yagiura, Mutsunori; Ibaraki, Toshihide; Glover, Fred - In: INFORMS journal on computing : JOC 16 (2004) 2, pp. 133-151
Persistent link: https://www.econbiz.de/10007101474
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A 3-flip neighborhood local search for the set covering problem
Yagiura, Mutsunori; Kishida, Masahiro; Ibaraki, Toshihide - In: European journal of operational research : EJOR 172 (2006) 2, pp. 472-499
Persistent link: https://www.econbiz.de/10006640509
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A path relinking approach with ejection chains for the generalized assignment problem
Yagiura, Mutsunori; Ibaraki, Toshihide; Glover, Fred - In: European journal of operational research : EJOR 169 (2006) 2, pp. 548-569
Persistent link: https://www.econbiz.de/10006641135
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One-dimensional cutting stock problem to minimize the number of different patterns
Umetani, Shunji; Yagiura, Mutsunori; Ibaraki, Toshihide - In: European journal of operational research : EJOR 146 (2003) 2, pp. 388-402
Persistent link: https://www.econbiz.de/10006652264
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Recent progress of local search in handling the time window constraints of the vehicle routing problem
Hashimoto, Hideki; Yagiura, Mutsunori; Imahori, Shinji; … - 2013
Persistent link: https://www.econbiz.de/10010093395