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Works matching IS 1619697X AND DT 2021 AND VI 18 AND IP 2

Results: 6

1

Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation.

Published in:

Computational Management Science, 2021, v. 18, n. 2, p. 239, doi. 10.1007/s10287-021-00394-9

By:

Ballestra, Luca Vincenzo

Publication type:

Article

2

Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns.

Published in:

Computational Management Science, 2021, v. 18, n. 2, p. 195, doi. 10.1007/s10287-021-00392-x

By:

Chaiyakan, Songkomkrit;
Thipwiwatpotjana, Phantipa

Publication type:

Article

3

Catastrophic risks and the pricing of catastrophe equity put options.

Published in:

Computational Management Science, 2021, v. 18, n. 2, p. 213, doi. 10.1007/s10287-021-00391-y

By:

Arnone, Massimo;
Bianchi, Michele Leonardo;
Quaranta, Anna Grazia;
Tassinari, Gian Luca

Publication type:

Article

4

Some new perspectives for solving 0–1 integer programming problems using Balas method.

Published in:

Computational Management Science, 2021, v. 18, n. 2, p. 177, doi. 10.1007/s10287-021-00389-6

By:

Glover, J.;
Quan, V.;
Zolfaghari, S.

Publication type:

Article

5

On the application of Wishart process to the pricing of equity derivatives: the multi-asset case.

Published in:

Computational Management Science, 2021, v. 18, n. 2, p. 149, doi. 10.1007/s10287-021-00388-7

By:

La Bua, Gaetano;
Marazzina, Daniele

Publication type:

Article

6

Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments.

Published in:

Computational Management Science, 2021, v. 18, n. 2, p. 125, doi. 10.1007/s10287-021-00387-8

By:

Bandarra, Michelle;
Guigues, Vincent

Publication type:

Article