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Robust product Markovian quantization
Rudd, Ralph; McWalter, Thomas A.; Kienitz, Jörg; … - In: The journal of computational finance 25 (2022) 4, pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
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Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287
Persistent link: https://www.econbiz.de/10011350647
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Optimal stopping under uncertainty in drift and jump intensity
Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209
Persistent link: https://www.econbiz.de/10011956978
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Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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Robust simulation with likelihood-ratio constrained input uncertainty
Hu, Zhaolin; Hong, L. Jeff - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 4, pp. 2350-2367
Persistent link: https://www.econbiz.de/10013362754
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Efficient Simulation of Generalized SABR and Stochastic Local Volatility Models based on Markov Chain Approximations
Cui, Zhenyu - 2020
We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems … based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation … framework for asset prices under general stochastic local volatility (SLV) models arising in finance, which includes the Heston …
Persistent link: https://www.econbiz.de/10012823283
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Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui; Bian, Zhicun; Chen, Naiwei - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
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Investigating risk and robustness measures for supply chain network design under demand uncertainty : a case study of glass supply chain
Govindan, Kannan; Fattahi, Mohammad - In: International journal of production economics 183 (2017), pp. 680-699
Persistent link: https://www.econbiz.de/10011634552