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BSDE approach to utility maximization with square-root factor processes
Lin, Hongcan; Saunders, David M.; Weng, Chengguo - In: Operations research letters 48 (2020) 2, pp. 130-135
Persistent link: https://www.econbiz.de/10012254025
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Asymptotics for the survival probability of time-inhomogeneous diffusion processes
Wang, Yimei; Yang, Nian - In: Operations research letters 51 (2023) 3, pp. 308-311
Persistent link: https://www.econbiz.de/10014374890
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Pricing double-barrier options under a flexible jump diffusion model
Cai, Ning; Chen, Nan; Wan, Xiangwei - In: Operations research letters 37 (2009) 3, pp. 163-167
Persistent link: https://www.econbiz.de/10003903887
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Option pricing under jump-diffusion models with mean-reverting bivariate jumps
Miao, Daniel Wei-chung; Lin, Xenos Chang-shuo; Chao, … - In: Operations research letters 42 (2014) 1, pp. 27-33
Persistent link: https://www.econbiz.de/10010259274
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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
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Ornstein–Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
Li, Lingfei; Mendoza-Arriaga, Rafael - In: Operations research letters 41 (2013) 5, pp. 521-525
Persistent link: https://www.econbiz.de/10010191968
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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
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On the complexity of the single machine scheduling problem minimizing total weighted delay penalty
Vásquez, Óscar C. - In: Operations research letters 42 (2014) 5, pp. 343-347
Persistent link: https://www.econbiz.de/10010404393
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Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
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Forest of stochastic meshes : a new method for valuing high-dimensional swing options
Marshall, T. J.; Reesor, R. Mark - In: Operations research letters 39 (2011) 1, pp. 17-21
Persistent link: https://www.econbiz.de/10008856904