乳钵 发表于 2025-3-21 20:01:32

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清澈 发表于 2025-3-21 20:21:03

Structure of Optimal Stopping Strategies for American Type Options,ed as a price process and the second one as an index process controlling the price component. American type options with convex pay-off functions are studied. The structure optimal and ε-optimal buyer stopping strategies is investigated for various classes of convex pay-off functions.

乐意 发表于 2025-3-22 04:15:31

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immunity 发表于 2025-3-22 08:38:24

https://doi.org/10.1007/978-1-4757-3150-7Computer; Finance; Multimedia; Options; Simulation; Stochastic Optimization; calculus; computer science; mod

BAIT 发表于 2025-3-22 08:57:27

978-1-4419-4840-3Springer-Verlag US 2000

dowagers-hump 发表于 2025-3-22 15:54:13

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Sciatica 发表于 2025-3-22 19:28:07

On the Numerical Solution of Jointly Chance Constrained Problems,This paper considers jointly chance constrained problems from the numerical point of view. The main numerical difficulties as well as techniques for overcoming these difficulties are discussed. The efficiency of the approach is illustrated by presenting computational results for large-scale jointly chance constrained test problems.

不断的变动 发表于 2025-3-23 01:03:46

Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk,The value-at-risk (VaR) and the conditional value-at-risk (CVaR) are two commonly used risk measures. We state some of their properties and make a comparison. Moreover, the structure of the portfolio optimization problem using the VaR and CVaR objective is studied.

令人苦恼 发表于 2025-3-23 05:26:55

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negligence 发表于 2025-3-23 08:02:20

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查看完整版本: Titlebook: Probabilistic Constrained Optimization; Methodology and Appl Stanislav P. Uryasev Book 2000 Springer-Verlag US 2000 Computer.Finance.Multim