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- Volume 2001
- Auflistung Volume 2001 nach Autor
Auflistung Volume 2001 nach Autor "King, Alan J."
Anzeige der Publikationen 1-2 von 2
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2001-04-20BuchA multi-stage stochastic integer programming approach for capacity expansion under uncertainty Ahmed, Shabbir; King, Alan J.; Parija, GyanaThis paper addresses a multi-period investment model for capacity expansion in an uncertain environment. Using a scenario tree approach to model the evolution of uncertain demand and cost parameters, and fixed-charge cost ...
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2001-11-13BuchMartingale pricing measures in incomplete markets via stochastic programming duality in the dual of L ∞ King, Alan J.; Korf, Lisa A.We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims, using conjugate duality and optimization theory. Various statements in the literature of the fundamental theorem of asset ...