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Mathematical methods of operations research
International journal of theoretical and applied finance
551
European journal of operational research : EJOR
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402
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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1
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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2
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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3
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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4
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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5
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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6
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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7
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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8
Optimal supply functions in electricity markets with option contracts and non-smooth costs
Anderson, Edward J.
;
Xu, Huifu
- In:
Mathematical methods of operations research
63
(
2006
)
3
,
pp. 387-411
Persistent link: https://www.econbiz.de/10003356988
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9
A first-passage problem with multiple costs
Wakuta, Kazuyoshi
- In:
Mathematical methods of operations research
51
(
2000
)
3
,
pp. 419-432
Persistent link: https://www.econbiz.de/10001519656
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10
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Bielecki, Thomas
;
Hernández-Hernández, Daniel
; …
- In:
Mathematical methods of operations research
50
(
1999
)
2
,
pp. 167-188
Persistent link: https://www.econbiz.de/10001428073
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