5 citations · 28 across the 30 of their papers we have counts for
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q-fin.PR2020
Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model
Kevin S. Zhang, Traian A. Pirvu
In this paper we develop numerical pricing methodologies for European style Exchange Options written on a pair of correlated assets, in a market with finite liquidity. In contrast…
math.OC2020
Stochastic production planning with regime switching
Elena Cristina Canepa, Dragos-Patru Covei, Traian A. Pirvu
This paper considers a stochastic production planning problem with regime switching. There are two regimes corresponding to different economic cycles. A factory is planning its pro…