Search Results - subject:"explicit solution"

A singular stochastic control problem with direction switching cost

Kruk, Łukasz - In: Mathematical methods of operations research : ZOR 98 (2023) 3, pp. 325-349

Persistent link: https://www.econbiz.de/10014514912

Dynamic core-satellite investing using higher order moments : an explicit solution

Wang, Yanfeng; Lu, Wanbo; Boudt, Kris - In: Quantitative finance 23 (2023) 12, pp. 1815-1831

Persistent link: https://www.econbiz.de/10014452472

VIX-linked fees for GMWBs via explicit solution simulation methods

Kouritzin, Michael A.; MacKay, Anne - In: Insurance / Mathematics & economics 81 (2018), pp. 1-17

Persistent link: https://www.econbiz.de/10011904577

Explicit Heston solutions and stochastic approximation for path-dependent option pricing

Kouritzin, Michael A. - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10011846484

An explicit solution for a portfolio selection problem with stochastic volatility

Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218

Persistent link: https://www.econbiz.de/10011658467

Using tropical optimization to solve constrained minimax single-facility location problems with rectilinear distance

Krivulin, Nikolai - In: Computational Management Science : CMS 14 (2017) 4, pp. 493-518

Persistent link: https://www.econbiz.de/10011758934

Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models

Richter, Anja - In: Stochastic Processes and their Applications 124 (2014) 11, pp. 3578-3611

Over the past few years quadratic Backward Stochastic Differential Equations (BSDEs) have been a popular field of research. However there are only very few examples where explicit solutions for these equations are known. In this paper we consider a class of quadratic BSDEs involving affine...

Persistent link: https://www.econbiz.de/10011064995

Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options

Henrard, Marc - Volkswirtschaftliche Fakultät, … - 2007

A simple exotic option (floor on rolled deposit) is studied in the shifted log-normal Libor Market (LMM) and Gaussian HJM models. The shifted log-normal LMM exhibits a controllable volatility skew. An explicit approach is used for both models. Using approximations the price in the LMM is...

Persistent link: https://www.econbiz.de/10005622112

A partial differential equation formulation of Vickrey’s bottleneck model, part I: Methodology and theoretical analysis

Han, Ke; Friesz, Terry L.; Yao, Tao - In: Transportation Research Part B: Methodological 49 (2013) C, pp. 55-74

it is widely suspected that an explicit solution to this ODE does not exist. In this paper, we advance the knowledge and … variational method to obtain an explicit solution representation. Such an explicit solution is then shown to be the strong … connection with first-order traffic models such as the Lighthill–Whitham–Richards (LWR) model. The explicit solution …

Persistent link: https://www.econbiz.de/10010636531

MULTI-ITEM NEWSVENDOR PROBLEM WITH AN EQUALITY RESOURCE CONSTRAINT

GOTO, H. - In: Asia-Pacific Journal of Operational Research (APJOR) 30 (2013) 01, pp. 1250041-1

This research addresses a multi-item newsvendor problem with an equality resource constraint. We focus on retail industries with insufficient development power, where shelves must be filled with a variety of goods at the beginning of every period to make the selling space attractive....

Persistent link: https://www.econbiz.de/10010660909