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High-order computational methods for option valuation under multifactor models
Rambeerich, N.; Tangman, D. Y.; Lollchund, M. R.; … - In: European journal of operational research : EJOR 224 (2013) 1, pp. 219-226
Persistent link: https://www.econbiz.de/10009677905
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Optimal decision policy for real options under general Markovian dynamics
Cortazar, Gonzalo; Naranjo, Lorenzo; Sainz, Felipe - In: European journal of operational research : EJOR 288 (2021) 2, pp. 634-647
Persistent link: https://www.econbiz.de/10012439274
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Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
Meskarian, Rudabeh; Xu, Huifu; Fliege, Jörg - In: European journal of operational research : EJOR 216 (2012) 2, pp. 376-385
Persistent link: https://www.econbiz.de/10009387417
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Dynamic portfolio optimization with transaction costs and state-dependent drift
Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner - In: European journal of operational research : EJOR 243 (2015) 3, pp. 921-931
Persistent link: https://www.econbiz.de/10010513816
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CDS pricing with fractional Hawkes processes
Ketelbuters, John-John; Hainaut, Donatien - In: European journal of operational research : EJOR 297 (2022) 3, pp. 1139-1150
Persistent link: https://www.econbiz.de/10013263023
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The pricing and optimal strategies of callable warrants
Yagi, Kyoko; Sawaki, Katsushige - In: European journal of operational research : EJOR 206 (2010) 1, pp. 123-130
Persistent link: https://www.econbiz.de/10003968462
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Generalised soft binomial American real option pricing model (fuzzy–stochastic approach)
Zmeškal, Zdeněk - In: European journal of operational research : EJOR 207 (2010) 2, pp. 1096-1103
Persistent link: https://www.econbiz.de/10008652602
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A note on "Monte Carlo analysis of convertible bonds with reset clause"
Yang, Jingyang; Choi, Yoon; Li, Shenghong; Yu, Jinping - In: European journal of operational research : EJOR 200 (2009/10) 3, pp. 924-925
Persistent link: https://www.econbiz.de/10003892409
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Gas storage valuation applying numerically constructed recombining trees
Felix, Bastian Joachim; Weber, Christoph - In: European journal of operational research : EJOR 216 (2012) 1, pp. 178-187
Persistent link: https://www.econbiz.de/10009348453
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On valuing and hedging European options when volatility is estimated directly
Popovic, Ray; Goldsman, David Morris - In: European journal of operational research : EJOR 218 (2012) 1, pp. 124-131
Persistent link: https://www.econbiz.de/10009501057