Report NEP-ORE-2011-02-12This is the archive for NEP-ORE, a report on new working papers in the area of Operations Research. Walter Frisch issued this report. It is usually issued weekly.
The following items were announced in this report:
- Pierre Del Moral & Peng Hu & Nadia Oudjane & Bruno Rémillard, 2010. "On the Robustness of the Snell envelope," Working Papers inria-00487103, HAL.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," CORE Discussion Papers 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Barlo, Mehmet & Urgun, Can, 2011. "Stochastic discounting in repeated games: Awaiting the almost inevitable," MPRA Paper 28537, University Library of Munich, Germany.
- Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," KIER Working Papers 759, Kyoto University, Institute of Economic Research.