APJOR
2010
13 years 3 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 4 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 4 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 4 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...