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A general framework for time-changed Markov processes and applications
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
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Generic improvements to least squares monte carlo methods with applications to optimal stopping problems
Wei, Wei; Zhu, Dan - In: European journal of operational research : EJOR 298 (2022) 3, pp. 1132-1144
Persistent link: https://www.econbiz.de/10013206929
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An improved least squares Monte Carlo valuation method based on heteroscedasticity
Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706
Persistent link: https://www.econbiz.de/10011794017
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A tractable interest rate model with explicit monetary policy rates
Renne, Jean-Paul - In: European journal of operational research : EJOR 251 (2016) 3, pp. 873-887
Persistent link: https://www.econbiz.de/10011449003
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A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
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Comparison of least squares Monte Carlo methods with applications to energy real options
Nadarajah, Selvaprabu; Margot, François; Secomandi, Nicola - In: European journal of operational research : EJOR 256 (2017) 1, pp. 196-204
Persistent link: https://www.econbiz.de/10011611249
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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The implication of missing the optimal-exercise time of an American option
Chockalingam, Arun; Feng, Haolin - In: European journal of operational research : EJOR 243 (2015) 3, pp. 883-896
Persistent link: https://www.econbiz.de/10010513833
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An improved method for pricing and hedging long dated American options
Fabozzi, Frank J.; Paletta, Tommaso; Stanescu, Silvia; … - In: European journal of operational research : EJOR 254 (2016) 2, pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
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American step options
Detemple, Jérôme B.; Laminou Abdou, Souleymane; … - In: European journal of operational research : EJOR 282 (2020) 1, pp. 363-385
Persistent link: https://www.econbiz.de/10012157702