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Some new integral inequalities for higher-order strongly exponentially convex functions
(
Institute for Ionics
, 2023 , Article)
Integral inequalities with generalized convexity play an important role in both applied and theoretical mathematics. The theory of integral inequalities is currently one of the most rapidly developing areas of mathematics ...
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
(
Elsevier B.V.
, 2023 , Article)
In this paper, we consider the pricing of American options under a regime-switching double Heston model, such that the interest rate and mean-reversion level parameters in both stochastic volatility models shift in various ...
A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
(
World Scientific
, 2023 , Article)
In this paper, we study mean-variance-Conditional Value-At-Risk (CVaR) portfolio optimization problem with short selling, cardinality constraint and transaction costs. To tackle its mixed-integer quadratic optimization ...