Narrow search
Showing 1 - 10 of 299
Cover Image
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching
Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187
Persistent link: https://www.econbiz.de/10009727702
Cover Image
Option pricing under joint dynamics of interest rates, dividends, and stock prices
Kanniainen, Juho - In: Operations research letters 39 (2011) 4, pp. 260-264
Persistent link: https://www.econbiz.de/10009295648
Cover Image
A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue
Sarhangian, Vahid; Balcıog˜lu, Barış - In: Operations research letters 41 (2013) 6, pp. 659-663
Persistent link: https://www.econbiz.de/10010236055
Cover Image
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
Cover Image
Asymptotic analysis of option pricing in a Markov modulated market
Basu, Arnab; Ghosh, Mrinal K. - In: Operations research letters 37 (2009) 6, pp. 415-419
Persistent link: https://www.econbiz.de/10003905576
Cover Image
Closed-form solution to a real option problem with regime switching
Nishihara, Michi - In: Operations research letters 48 (2020) 6, pp. 703-707
Persistent link: https://www.econbiz.de/10012430068
Cover Image
Sell or hold : a simple two-stage stochastic combinatorial optimization problem
He, Qie; Ahmed, Shabbir; Nemhauser, George L. - In: Operations research letters 40 (2012) 2, pp. 69-73
Persistent link: https://www.econbiz.de/10009507916
Cover Image
On discounted approximations of undiscounted stochastic games and Markov decison processes with limited randomness
Boros, Endre; Elbassioni, Khaled; Gurvich, Vladimir; … - In: Operations research letters 41 (2013) 4, pp. 357-362
Persistent link: https://www.econbiz.de/10009772783
Cover Image
Stochastic analysis of preventive maintenance in heterogeneous populations
Cha, Ji Hwan; Finkelstein, Maxim - In: Operations research letters 40 (2012) 5, pp. 416-421
Persistent link: https://www.econbiz.de/10009613756
Cover Image
Fluid models for many-server Markovian queues in a changing environment
Zhang, Bo; Zwart, Bert - In: Operations research letters 40 (2012) 6, pp. 573-577
Persistent link: https://www.econbiz.de/10009717278