APJOR
2010
13 years 10 months ago
2010
This paper provides a fast and accurate randomization algorithm for valuing American puts and calls on dividend-paying stocks and their early exercise boundaries. The primal focus...
APJOR
2010
13 years 11 months ago
2010
Mean value analysis is an elegant tool for determining mean performance measures in queueing models. We use the technique to analyze the M/G/1 retrial queue with exponential retri...
APJOR
2010
13 years 11 months ago
2010
Earth mover's distance (EMD for short) is a perceptually meaningful dissimilarity measure between histograms. The computation of EMD reduces to a network flow optimization pro...
APJOR
2010
13 years 11 months ago
2010
In this paper we apply the well known sample average approximation (SAA) method to solve a class of stochastic variational inequality problems (SVIPs). We investigate the existenc...