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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
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On supremum-norm cost games
Meca, Ana; Sošić, Greys - In: Operations research letters 44 (2016) 1, pp. 54-58
Persistent link: https://www.econbiz.de/10011455558
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Importance sampling for jump processes and applications to finance
Badouraly Kassim, Laetitia; Lelong, Jérõme; … - In: The journal of computational finance 19 (2015/2016) 2, pp. 109-139
Persistent link: https://www.econbiz.de/10011442676
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Product-line planning under uncertainty
Karakaya, Şakir; Köksal, Gülser - In: Computers & operations research : and their … 138 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013040805
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How big should your data really be? : data-driven newsvendor : learning one sample at a time
Besbes, Omar; Mouchtaki, Omar - In: Management science : journal of the Institute for … 69 (2023) 10, pp. 5848-5865
Persistent link: https://www.econbiz.de/10014393035
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A multi-stage stochastic programming approach for pre-positioning of relief supplies considering returns
Hu, Shaolong; Hu, Qingmi; Tao, Sha; Dong, Zhijie - In: Socio-economic planning sciences : the international … 88 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014370397
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Meal delivery routing problem with stochastic meal preparation times and customer locations
Kancharla, Surendra Reddy; Van Woensel, Tom; Waller, S. … - In: Networks and spatial economics : a journal of … 24 (2024) 4, pp. 997-1020
Persistent link: https://www.econbiz.de/10015195279
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A sample average approximation-based heuristic for the stochastic production routing problem
In: Central European journal of operations research 33 (2025) 1, pp. 121-144
Persistent link: https://www.econbiz.de/10015195688
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Technical note: two-stage sample robust optimization
Bertsimas, Dimitris; Shtern, Shimrit; Sturt, Bradley - In: Operations research 70 (2022) 1, pp. 624-640
Persistent link: https://www.econbiz.de/10012820676
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Sample average approximation of CVaR-based hedging problem with a deep-learning solution
Peng, Cheng; Li, Shuang; Zhao, Yanlong; Bao, Ying - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012821981