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Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Lai, Yongzeng; Li, Zhongfei; Zeng, Yan - In: IMA journal of management mathematics 26 (2015) 1, pp. 11-37
Persistent link: https://www.econbiz.de/10011376988
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Optimal investment and consumption in a continuous-time co-integration model
Shen, Yang; Siu, Tak Kuen - In: IMA journal of management mathematics 28 (2017) 4, pp. 501-530
Persistent link: https://www.econbiz.de/10011845245
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Pricing dynamic fund protection under hidden Markov models
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: IMA journal of management mathematics 29 (2018) 1, pp. 99-117
Persistent link: https://www.econbiz.de/10011858973