Search Results - subject:"Dynamic programming"

American option pricing under stochastic volatility: an efficient numerical approach

AitSahlia, Farid; Goswami, Manisha; Guha, Suchandan - In: Computational Management Science 7 (2010) 2, pp. 171-187

Persistent link: https://www.econbiz.de/10008594127

American option pricing under stochastic volatility: an empirical evaluation

AitSahlia, Farid; Goswami, Manisha; Guha, Suchandan - In: Computational Management Science 7 (2010) 2, pp. 189-206

Persistent link: https://www.econbiz.de/10008594131

On the analytical-numerical valuation of the Bermudan and American options

Prekopa, Andras; Szántai, Tamás - In: Quantitative Finance 10 (2010) 1, pp. 59-74

The paper further develops, both from the theoretical and numerical points of view the analytical valuation of the American options, initiated by Geske and Johnson (1984) for the American put with no dividend. We present and prove closed form formulas for the value of the Bermudan put and call,...

Persistent link: https://www.econbiz.de/10008609632

A worst case analysis of a dynamic programming-based heuristic algorithm for 2D unconstrained guillotine cutting

Song, X.; Chu, C.B.; Lewis, R.; Nie, Y.Y.; Thompson, J. - In: European Journal of Operational Research 202 (2010) 2, pp. 368-378

In this paper, a dynamic programming-based recursive method is proposed for solving an unconstrained 2D rectangular … to traditional dynamic programming, this algorithm gives a high percentage of optimal solutions (94.84%, 86.67% and 77 …

Persistent link: https://www.econbiz.de/10008483198

PRICING AND CALIBRATION OF A CHOOSER FLEXIBLE CAP

ITO, DAISUKE; OHNISHI, MASAMITSU; TAMBA, YASUHIRO - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 243-256

dynamic programming approach for their risk neutral evaluation. This framework is suited to a calibration from an observed …

Persistent link: https://www.econbiz.de/10008464902

Production and inventory management with substitutions

Lang, Jan Christian - 2010

Persistent link: https://www.econbiz.de/10008756751

VALUING CALLABLE AND PUTABLE REVENUE-PERFORMANCE-LINKED PROJECT BACKED SECURITIES

DONG, FENG; CHIARA, NICOLA; VECER, JAN - In: International Journal of Theoretical and Applied … 13 (2010) 05, pp. 751-765

Public owners face a constant demand for developing new projects and for funding the renewal, maintenance and operation of existing infrastructure projects. One way to raise capitals to provide new financial resources to constrained budgets is to securitize a stream of revenue cash flows from a...

Persistent link: https://www.econbiz.de/10008461845

Forward-Looking Decision Making : Dynamic Programming Models Applied to Health, Risk, Employment, and Financial Stability

Hall, Robert E. - 2010

is about modeling this individual or family-based decision making using an optimizing dynamic programming model. Robert …-Hours Complementarity -- 3 Health -- 3.1 The Issues -- 3.2 Basic Facts -- 3.3 Basic Model -- 3.4 The Full Dynamic-Programming Model -- 3 … elasticity of substitution, the Frisch elasticity of labor supply, and the Frisch cross-elasticity. He then examines dynamic …

Persistent link: https://www.econbiz.de/10012688854

A process control approach to tactical inventory management in production-inventory systems

Schwartz, Jay D.; Rivera, Daniel E. - In: International journal of production economics 125 (2010) 1, pp. 111-124

Persistent link: https://www.econbiz.de/10003974482

Scheduling deteriorating jobs under disruption

Zhao, Chuan-li; Tang, Heng-yong - In: International journal of production economics 125 (2010) 2, pp. 294-299

Persistent link: https://www.econbiz.de/10003974635