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High-dimensional black-box optimization under uncertainty

Anahideh, Hadis; Rosenberger, Jay; Chen, Victoria C. P. - In: Computers & operations research : and their … 137 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013197389

Surrogate-assisted cooperative learning genetic programming for the resource-constrained project scheduling problem with stochastic activity durations and transfer times

Zhang, Haohua; Demeulemeester, Erik; Li, Lubo; Bai, Sijun - In: Computers & operations research : an international journal 173 (2025), pp. 1-16

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Directed particle swarm optimization with Gaussian-process-based function forecasting

Jakubik, Johannes; Binding, Adrian; Feuerriegel, Stefan - In: European journal of operational research : EJOR 295 (2021) 1, pp. 157-169

Persistent link: https://www.econbiz.de/10012595958

Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme

Chan, Tat Lung; Hubbert, Simon - In: Review of derivatives research 17 (2014) 2, pp. 161-189

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A numerical method to approximate multi-asset option pricing under exponential Lévy model

Khodayari, Leila; Ranjbar, Mojtaba - In: Computational economics 50 (2017) 2, pp. 189-205

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The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes

Kagraoka, Yusho - In: International Journal of Financial Studies : open … 8 (2020) 4/77, pp. 1-13

In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite difference methods are popular for solving a PDE...

Persistent link: https://www.econbiz.de/10012372986