Cui, Zhenyu; Liu, Yanchu; Wang, Ruodu Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient. (English) Zbl 1525.62048 Oper. Res. Lett. 50, No. 2, 199-204 (2022). MSC: 62P05 60E15 62P20 91G70 PDFBibTeX XMLCite \textit{Z. Cui} et al., Oper. Res. Lett. 50, No. 2, 199--204 (2022; Zbl 1525.62048) Full Text: DOI
Hasman, Augusto Does the financial market compensate investors for operational losses? (English) Zbl 1525.91187 Oper. Res. Lett. 49, No. 1, 101-105 (2021). MSC: 91G80 91G30 PDFBibTeX XMLCite \textit{A. Hasman}, Oper. Res. Lett. 49, No. 1, 101--105 (2021; Zbl 1525.91187) Full Text: DOI
Miao, Daniel Wei-Chung; Lin, Xenos Chang-Shuo; Chao, Wan-Ling Option pricing under jump-diffusion models with mean-reverting bivariate jumps. (English) Zbl 1408.91222 Oper. Res. Lett. 42, No. 1, 27-33 (2014). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{D. W. C. Miao} et al., Oper. Res. Lett. 42, No. 1, 27--33 (2014; Zbl 1408.91222) Full Text: DOI
Moon, Kyoung-Sook; Kim, Hongjoong An adaptive averaging binomial method for option valuation. (English) Zbl 1286.91139 Oper. Res. Lett. 41, No. 5, 511-515 (2013). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{K.-S. Moon} and \textit{H. Kim}, Oper. Res. Lett. 41, No. 5, 511--515 (2013; Zbl 1286.91139) Full Text: DOI
Chen, Nan; Huang, Zhengyu Brownian meanders, importance sampling and unbiased simulation of diffusion extremes. (English) Zbl 1257.62086 Oper. Res. Lett. 40, No. 6, 554-563 (2012). MSC: 62M05 65C05 62G32 65C60 PDFBibTeX XMLCite \textit{N. Chen} and \textit{Z. Huang}, Oper. Res. Lett. 40, No. 6, 554--563 (2012; Zbl 1257.62086) Full Text: DOI
Yoon, Ji Hee; Jang, Bong-Gyu; Roh, Kum-Hwan An analytic valuation method for multivariate contingent claims with regime-switching volatilities. (English) Zbl 1219.91144 Oper. Res. Lett. 39, No. 3, 180-187 (2011). MSC: 91G20 91G70 91B70 PDFBibTeX XMLCite \textit{J. H. Yoon} et al., Oper. Res. Lett. 39, No. 3, 180--187 (2011; Zbl 1219.91144) Full Text: DOI
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-Yi Conditional value-at-risk in portfolio optimization: coherent but fragile. (English) Zbl 1219.91130 Oper. Res. Lett. 39, No. 3, 163-171 (2011). MSC: 91G10 91G70 90C90 PDFBibTeX XMLCite \textit{A. E. B. Lim} et al., Oper. Res. Lett. 39, No. 3, 163--171 (2011; Zbl 1219.91130) Full Text: DOI
Chockalingam, Arunachalam; Muthuraman, Kumar Pricing American options when asset prices jump. (English) Zbl 1203.91288 Oper. Res. Lett. 38, No. 2, 82-86 (2010). MSC: 91G20 35R09 35R35 PDFBibTeX XMLCite \textit{A. Chockalingam} and \textit{K. Muthuraman}, Oper. Res. Lett. 38, No. 2, 82--86 (2010; Zbl 1203.91288) Full Text: DOI
Bensoussan, Alain; Chutani, Anshuman; Sethi, Suresh P. Optimal cash management under uncertainty. (English) Zbl 1182.91189 Oper. Res. Lett. 37, No. 6, 425-429 (2009). MSC: 91G50 93E20 90B06 PDFBibTeX XMLCite \textit{A. Bensoussan} et al., Oper. Res. Lett. 37, No. 6, 425--429 (2009; Zbl 1182.91189) Full Text: DOI Link
Cai, Ning On first passage times of a hyper-exponential jump diffusion process. (English) Zbl 1163.60039 Oper. Res. Lett. 37, No. 2, 127-134 (2009). MSC: 60J75 60J60 PDFBibTeX XMLCite \textit{N. Cai}, Oper. Res. Lett. 37, No. 2, 127--134 (2009; Zbl 1163.60039) Full Text: DOI