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LP valuation of exotic American options exploiting structure
Dempster, Michael A. H.; Hutton, J. P.; Richards, Donald G. - In: The journal of computational finance 2 (1998) 1, pp. 61-84
Persistent link: https://www.econbiz.de/10001447235
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Pricing American stock options by linear programming
Dempster, Michael A. H.; Hutton, J. P. - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 229-254
Persistent link: https://www.econbiz.de/10001444164
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A stochastic approach to hierarchical planning and scheduling
Dempster, Michael A. H. - 1984 - Reprint
Persistent link: https://www.econbiz.de/10000717048
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The expected value of perfect information in the optimal evolution of stochastic systems
Dempster, Michael A. H. - 1983 - Reprint
Persistent link: https://www.econbiz.de/10000717051
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Fast numerical valuation of American, exotic and complex options
Dempster, Michael A. H. - In: Applied mathematical finance 4 (1997) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001226776
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Dynamic portfolio replication using stochastic programming
Dempster, Michael A. H.; Thompson, G. W. P. - In: Risk management : value at risk and beyond, (pp. 100-128). 2002
Persistent link: https://www.econbiz.de/10001689194
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Pricing American options fitting the smile
Dempster, Michael A. H.; Richards, Donald G. - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 157-177
Persistent link: https://www.econbiz.de/10002177386