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Speeding up COMPASS for high-dimensional discrete optimization via simulation
Hong, L. Jeff; Nelson, Barry L.; Xu, Jie - In: Operations research letters 38 (2010) 6, pp. 550-556
Persistent link: https://www.econbiz.de/10008712118
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Revisit of stochastic mesh method for pricing American options
Liu, Guangwu; Hong, L. Jeff - In: Operations research letters 37 (2009) 6, pp. 411-415
Persistent link: https://www.econbiz.de/10008894842
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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun, Lihua; Hong, L. Jeff - In: Operations research letters 38 (2010) 4, pp. 246-252
Persistent link: https://www.econbiz.de/10008417636
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Revisit of stochastic mesh method for pricing American options
Liu, Guangwu; Hong, L. Jeff - In: Operations research letters 37 (2009) 6, pp. 411-414
Persistent link: https://www.econbiz.de/10003905573
Cover Image
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
Sun, Lihua; Hong, L. Jeff - In: Operations research letters 38 (2010) 4, pp. 246-251
Persistent link: https://www.econbiz.de/10003984224
Cover Image
Speeding up COMPASS for high-dimensional discrete optimization via simulation
Hong, L. Jeff; Nelson, Barry L.; Xu, Jie - In: Operations research letters 38 (2010) 6, pp. 550-555
Persistent link: https://www.econbiz.de/10008738529