Two methods of analytical approximations for computing the value of a European option on the conditional variance in a GARCH setting are presented. The firs...

We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...

This paper deals with time-consistency and agreeability, two dynamic individual rationality concepts, in special linear-quadratic differential games. Condi...

Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, L...

Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by ...

The paper identifies conditions under which time-consistency and agreeability, two intertemporal individual rationality concepts, can be verified in linear-s...

The purpose of this article is to describe several applications of the Clustered Traveling Salesman Problem arising in areas as diverse as vehicle routing, ...

Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...

The standard way to solve the static economic dispatch problem with transmission losses is the penalty factor method. The problem is solved iteratively by a...

The paper identifies the strategic effects of learning-by-doing in presence of unintended spillovers of production experience. In a two-stage game an incum...

Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...

A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...

A review is made of models and algorithms for probabilistic satisfiability and its extensions. The basic probabilistic satisfiability problem, in decision f...

Extension of input-output functions for generating units allows simultaneous solution of the static unit commitment and economic dispatch problems by dynami...

Consider an assignment problem in which persons are qualified for some but usually not all of the jobs. Moreover, assume persons belong to given seniority c...

We consider a price setting duopoly producing differentiated goods, where the players can learn by doing and from each other. The unit production cost is mo...

This paper deals with efficient computation of a certain type of Nash-Cournot equilibria in multi-stage oligopolies. The generic structure analyzed herein r...

This note deals with the concept of stochastic equilibrium-programming <i>SEP</i> which has recently been proposed for the modeling of imperfect competition ...