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Swing options in commodity markets : a multidimensional Lévy diffusion model
Eriksson, Marcus; Lempa, Jukka; Nilssen, Trygve Kastberg - In: Mathematical methods of operations research 79 (2014) 1, pp. 31-67
Persistent link: https://www.econbiz.de/10010347962
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Robust static hedging of barrier options in stochastic volatility models
Maruhn, Jan H.; Sachs, Ekkehard - In: Mathematical methods of operations research 70 (2009) 3, pp. 405-433
Persistent link: https://www.econbiz.de/10003909254
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Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Bayraktar, Erhan; Xing, Hao - In: Mathematical methods of operations research 70 (2009) 3, pp. 505-525
Persistent link: https://www.econbiz.de/10003909291
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Optimal partial hedging of an American option : shifting the focus to the expiration date
Lindberg, Peter - In: Mathematical methods of operations research 75 (2012) 3, pp. 221-243
Persistent link: https://www.econbiz.de/10009536477
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Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin calculus
Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - In: Mathematical methods of operations research 74 (2011) 1, pp. 93-120
Persistent link: https://www.econbiz.de/10009270422
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Portfolio problems stopping at first hitting time with application to default risk
Kraft, Holger; Steffensen, Mogens - In: Mathematical methods of operations research 63 (2006) 1, pp. 123-150
Persistent link: https://www.econbiz.de/10003285476
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Pricing electricity derivatives within a Markov regime-switching model : a risk premium approach
Janczura, Joanna - In: Mathematical methods of operations research 79 (2014) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10010347963
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Ergodic behavior of a Markov chain model in a stochastic environment
Tsantas, N. - In: Mathematical methods of operations research 54 (2001) 1, pp. 101-117
Persistent link: https://www.econbiz.de/10001628093
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The stochastic shortest-path problem for Markov chains with infinite state space with applications to nearest-neighbor lattice chains
Lücking, Daniel; Stadje, Wolfgang - In: Mathematical methods of operations research 77 (2013) 2, pp. 239-264
Persistent link: https://www.econbiz.de/10009766707
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Portfolio optimization in stochastic markets
Çakmak, U.; Özekici, S. - In: Mathematical methods of operations research 63 (2006) 1, pp. 151-168
Persistent link: https://www.econbiz.de/10003285483