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Extensions of Lo’s Semiparametric Bound for European Call Options

Zuluaga, Luis F.; Peña, Javier F.; Du, Donglei - 2006

Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. We extend...

Persistent link: https://www.econbiz.de/10009441029

An improved algorithm for decomposing arc flows into multipath flows

Du, Donglei; Kabadi, Santosh N. - In: Operations research letters 34 (2006) 1, pp. 53-57

Persistent link: https://www.econbiz.de/10006809496

Preemptive on-line scheduling for two uniform processors

Wen, Jianjun; Du, Donglei - In: Operations research letters 23 (1998) 3, pp. 113-116

Persistent link: https://www.econbiz.de/10006845025

Third-order extensions of Lo’s semiparametric bound for European call options

Zuluaga, Luis F.; Peña, Javier; Du, Donglei - In: European journal of operational research : EJOR 198 (2009) 2, pp. 557-570

Persistent link: https://www.econbiz.de/10008237957

On optimality of one-bug-look-ahead policies for a software testing model

Jiang, Xiaoyue; Du, Donglei; Ray, Thomas G. - In: Naval research logistics : an international journal 54 (2007) 3, pp. 346

Persistent link: https://www.econbiz.de/10007604279

Improved Bounds for the Symmetric Rendezvous Value on the Line

Han, Qiaoming; Du, Donglei; Vera, Juan; Zuluaga, Luis F. - In: Operations research : the journal of the Operations … 56 (2008) 3, pp. 772-782

Persistent link: https://www.econbiz.de/10008076752

Third-order extensions of Lo's semiparametric bound for European call options

Zuluaga, Luis F.; Peña, Javier; Du, Donglei - In: European Journal of Operational Research 198 (2009) 2, pp. 557-570

Persistent link: https://www.econbiz.de/10004973632

Scheduling deliveries under uncertainty

Gabor, Adriana F.; Dekker, Rommert; Dijk, Timon van; … - 2009

Persistent link: https://www.econbiz.de/10008664811

How *not* to solve a Sudoku

Gabor, Adriana F.; Woeginger, Gerhard J. - In: Operations research letters 38 (2010) 6, pp. 582-584

Persistent link: https://www.econbiz.de/10008738499

The time window assignment vehicle routing problem

Spliet, Remy; Gabor, Adriana F. - In: Transportation science : a journal of the Institute for … 49 (2015) 4, pp. 721-731

Persistent link: https://www.econbiz.de/10011397847