Πλοήγηση Τμήμα Διοίκησης Επιχειρήσεων και Δημόσιας Διοίκησης / Department of Business and Public Administration ανά Θέμα "Effect of higher order moments"
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Article
Pricing options on scenario trees
(2008)We examine valuation procedures that can be applied to incorporate options in scenario-based portfolio optimization models. Stochastic programming models use discrete scenarios to represent the stochastic evolution of asset ...