42 citations · 163 across the 14 of their papers we have counts for
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stat.AP2013★ 2 cited
When to Bite the Bullet? - A Study of Optimal Strategies for Reducing Global Warming
X. Luo, P. V. Shevchenko
This work is based on the framework proposed by Conrad (1997) to determine the optimal timing of an investment or policy to slow global warming. While Conrad formulated the problem…
q-fin.CP2013★ 2 cited
Pricing TARN Using a Finite Difference Method
Xiaolin Luo, Pavel Shevchenko
Typically options with a path dependent payoff, such as Target Accumulation Redemption Note (TARN), are evaluated by a Monte Carlo method. This paper describes a finite difference…