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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

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

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 - In: Journal of applied econometrics 29 (2014) 5, pp. 843-859

Persistent link: https://www.econbiz.de/10010414842

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

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

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

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

Pricing and hedging basket options with exact moment matching

Leccadito, Arturo; Paletta, Tommaso; Tunaru, Radu - In: Insurance / Mathematics & economics 69 (2016), pp. 59-69

Persistent link: https://www.econbiz.de/10011530924

Multiperiod portfolio investment using stochastic programming with conditional value at risk

Chen, Hung-Hsin; Yang, Chang-Biau - In: Computers & operations research : and their … 81 (2017), pp. 305-321

Persistent link: https://www.econbiz.de/10011656256