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On valuing and hedging European options when volatility is estimated directly

Popovic, Ray; Goldsman, David - In: European Journal of Operational Research 218 (2012) 1, pp. 124-131

We quantify the effects on contingent claim valuation of using an estimator for the unknown volatility σ of a geometric Brownian motion (GBM) process. The theme of the paper is to show what difficulties can arise when failing to account for estimation risk. Our narrative uses a direct estimator...

Persistent link: https://www.econbiz.de/10011052723

Properties of standardized time series weighted area variance estimators

Goldsman, David Morris - In: Management science : journal of the Institute for … 36 (1990) 5, pp. 602-612

Persistent link: https://www.econbiz.de/10001087170

Decision making using simulation methods in sustainable transportation

Rabe, Markus; Goldsman, David Morris - In: Sustainable transportation and smart logistics : …, (pp. 305-333). 2019

Persistent link: https://www.econbiz.de/10013263041

A conversation with George Fishman

Fishman, George S.; Alexopoulos, Christos; Goldsman, … - In: Advancing the frontiers of simulation : a Festschrift …, (pp. 21-42). 2009

Persistent link: https://www.econbiz.de/10003918938

Optimal linear combinations of overlapping variance estimators for steady-state simulation

Aktaran-Kalaycı, Tûba; Alexopoulos, Christos; … - In: Advancing the frontiers of simulation : a Festschrift …, (pp. 291-328). 2009

Persistent link: https://www.econbiz.de/10003918950

Steady-state simulation with replication-dependent initial transients : analysis and examples

Argon, Nilay Tanik; Andradóttir, Sigrún; Alexopoulos, … - In: INFORMS journal on computing : JOC 25 (2013) 1, pp. 177-191

Persistent link: https://www.econbiz.de/10009728343

An improved standardized time series Durbin-Watson variance estimator for steady-state simulation

Batur, Demet; Goldsman, David Morris; Kim, Seong-hee - In: Operations research letters 37 (2009) 4, pp. 285-289

Persistent link: https://www.econbiz.de/10003908491

Folded overlapping variance estimators for simulation

Meterelliyoz, Melike; Alexopoulos, Christos; Goldsman, … - In: European journal of operational research : EJOR 220 (2012) 1, pp. 135-146

Persistent link: https://www.econbiz.de/10009531558

Advancing the frontiers of simulation : a Festschrift in honor of George Samual Fishman

Alexopoulos, Christos (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003834609

Correlation-based methods for output analysis

Goldsman, David Morris; Nelson, Barry L. - In: Simulation, (pp. 455-475). 2006

Persistent link: https://www.econbiz.de/10003588029