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Optimal measure preserving derivatives revisited

Beare, Brendan K. - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 370-388

Persistent link: https://www.econbiz.de/10014278673

A model specification test for nonlinear stochastic diffusions with delay

Cai, Zongwu; Mei, Hongwei; Wang, Rui - 2023

Persistent link: https://www.econbiz.de/10014280707

Estimation of continuous-time linear DSGE models from discrete-time measurements

Christensen, Bent Jesper; Neri, Luca; Parra-Alvarez, … - 2023

Persistent link: https://www.econbiz.de/10014280884

Implied Volatility in Stochastic Volatility Models With Jump to Default

Rolloos, Frido - 2023

A short review of the pricing of vanilla call and put options in stochastic volatility models with jump to default is given. Expressions are obtained that relate vanilla call and put options prices under pure stochastic volatility diffusion models to prices under stochastic volatility with jump...

Persistent link: https://www.econbiz.de/10014258480

Multiobjective land-water allocation model for sustainable agriculture with predictive stochastic yield response

Kannapha Amaruchkul - In: International transactions in operational research : a … 30 (2023) 4, pp. 1647-1672

Persistent link: https://www.econbiz.de/10014258943

Comparing an expected value with a multistage stochastic optimization approach for the case of wine grape harvesting operations with quality degradation

Avanzini, Elbio L.; Mac Cawley, Alejandro; Vera, Jorge; … - In: International transactions in operational research : a … 30 (2023) 4, pp. 1843-1873

Persistent link: https://www.econbiz.de/10014258967

Optimal decision making for empty container management at seaport yard

Ngo Quang Vinh; You, Sam-Sang; Le Ngoc Bao Long; Kim, … - In: LogForum : elektroniczne czasopismo naukowe z dziedziny … 19 (2023) 1, pp. 75-59

Persistent link: https://www.econbiz.de/10014259025

Cautious stochastic choice, optimal stopping and deliberate randomization

Henderson, Vicky; Hobson, David G.; Zeng, Matthew - In: Economic theory 75 (2023) 3, pp. 887-922

Persistent link: https://www.econbiz.de/10014259066

Semi-parametric modelling of inefficiencies in stochastic frontier analysis

Forchini, Giovanni; Theler, Raoul - In: Journal of productivity analysis : an official journal … 59 (2023) 2, pp. 135-152

Persistent link: https://www.econbiz.de/10014259118

Prioritizing of volatility models : a computational analysis using data envelopment analysis

Petridis, Konstantinos; Petridis, Nikolaos E.; … - In: International transactions in operational research : a … 30 (2023) 5, pp. 2302-2334

Persistent link: https://www.econbiz.de/10014259155

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