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Implied volantility and state price density estimation : arbitrage analysis
Kopa, Miloš; Vitali, Sebastiano; Tichý, Tomáš; … - In: Computational Management Science : CMS 14 (2017) 4, pp. 559-583
Persistent link: https://www.econbiz.de/10011758973
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Simulation and evaluation of the distribution of interest rate risk
Hagenbjörk, Johan; Blomvall, Jörgen - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 297-327
Persistent link: https://www.econbiz.de/10011993485
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Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
Becker, Martin - In: Computational Management Science : CMS 7 (2010) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10003922191
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American option pricing under stochastic volatility : an efficient numerical approach
AitSahlia, Farid; Goswami, Manisha; Guha, Suchandan - In: Computational Management Science : CMS 7 (2010) 2, pp. 171-187
Persistent link: https://www.econbiz.de/10003954086
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American option pricing under stochastic volatility : an empirical evaluation
AitSahlia, Farid; Goswami, Manisha; Guha, Suchandan - In: Computational Management Science : CMS 7 (2010) 2, pp. 189-206
Persistent link: https://www.econbiz.de/10003954092
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Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
Watson, Jean-Paul; Woodruff, David L. - In: Computational Management Science : CMS 8 (2011) 4, pp. 355-370
Persistent link: https://www.econbiz.de/10009314925
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Multi-horizon stochastic programming
Kaut, Michal; Midthun, Kjetil T.; Werner, Adrian S.; … - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 179-193
Persistent link: https://www.econbiz.de/10010251203
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Optimization of a linear function over the set of stochastic efficient solutions
Djamal, Chaabane; Fatma, Mebrek - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 157-178
Persistent link: https://www.econbiz.de/10010251204
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Capacity expansion and forward contracting in a duopolistic power sector
Chin, Dorea; Siddiqui, Afzal S. - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 57-86
Persistent link: https://www.econbiz.de/10010251210
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Energy efficiency and risk management in public buildings : strategic model for robust planning
Cano, Emilio L.; Moguerza, Javier M.; Ermol'eva, Tatiana Y. - In: Computational Management Science : CMS 11 (2014) 1/2, pp. 25-44
Persistent link: https://www.econbiz.de/10010251214