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Closed-form approximations for basket option pricing under normal tempered stable Lévy model

Hu, Dongdong; Sayit, Hasanjan; Yao, Jing; Zhong, Qifeng - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015134981

Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425

Which is the right option for Indian market : Gaussian, normal inverse Gaussian, or Tsallis?

Chakrabarti, Prasenjit; Guhathakurata, Kousik - In: IIMB management review 31 (2019) 3, pp. 238-249

Persistent link: https://www.econbiz.de/10012131769

Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689

Persistent link: https://www.econbiz.de/10013367850

Vine copula-based scenario tree generation approaches for portfolio optimization

He, Xiaolei; Zhang, Weiguo - In: Journal of forecasting 43 (2024) 6, pp. 1936-1955

Persistent link: https://www.econbiz.de/10015110342

Effects of higher order moments on the newsvendor problem

Sun, Qi; Dong, Yucheng; Xu, Weidong - In: International journal of production economics 146 (2013) 1, pp. 167-177

Persistent link: https://www.econbiz.de/10010221648

Fitting the Pht/Mt/s/c time-dependent departure process for use in tandem queueing networks

Nasr, Walid W.; Taaffe, Michael R. - In: INFORMS journal on computing : JOC 25 (2013) 4, pp. 758-773

Persistent link: https://www.econbiz.de/10010203578

A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains

Gospodinov, Nikolaj; Lkhagvasuren, Damba - 2013

This paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and...

Persistent link: https://www.econbiz.de/10010126857

Scenario tree generation and multi-asset financial optimization problems

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Operations research letters 41 (2013) 5, pp. 494-498

Persistent link: https://www.econbiz.de/10010189850

Multi-stage scenario generation by the combined moment matching and scenario reduction method

Rubasheuski, Uladzimir; Oppen, Johan; Woodruff, David L. - In: Operations research letters 42 (2014) 5, pp. 374-377

Persistent link: https://www.econbiz.de/10010404378