Now showing items 1-3 of 3
Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "λ gain-loss ratio opportunity". Pricing results somewhat different from, but ...
Robust scheduling and robustness measures for the discrete time/cost trade-off problem
Projects are often subject to various sources of uncertainties that have a negative impact on activity durations and costs. Therefore, it is crucial to develop effective approaches to generate robust project schedules that ...
Discrete time/cost trade-off problem: a decomposition-based solution algorithm for the budget version
(Pergamon Press, 2010-04)
This paper investigates the budget variant of the discrete time/cost trade-off problem (DTCTP). This multi-mode project scheduling problem requires assigning modes to the activities of a project so that the total completion ...