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American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach
Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632
Persistent link: https://www.econbiz.de/10010381847
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Exact simulation of the SABR model
Cai, Ning; Song, Yingda; Chen, Nan - In: Operations research 65 (2017) 4, pp. 931-951
Persistent link: https://www.econbiz.de/10011739058
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An optimization view of financial systemic risk modeling : network effect and market liquidity effect
Chen, Nan; Liu, Xin; Yao, David D. - In: Operations research 64 (2016) 5, pp. 1089-1108
Persistent link: https://www.econbiz.de/10011594656
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Information relaxation and a duality-driven algorithm for stochastic dynamic programs
Chen, Nan; Ma, Xiang; Liu, Yanchu; Yu, Wei - In: Operations research 72 (2024) 6, pp. 2302-2320
Persistent link: https://www.econbiz.de/10015371401
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Robust risk quantification via shock propagation in financial networks
Ahn, Dohyun; Chen, Nan; Kim, Kyoung-Kuk - In: Operations research 72 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10014505013