Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing

G. Gürkan, A.Y. Ozge, S.M. Robinson

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

Original languageEnglish
Title of host publicationProceedings of the 1996 Winter Simulation Conference
EditorsJ.M. Charnes, D.M. Morrice, D.T. Brunner, J.J. Swain
Place of PublicationNew Jersey
PublisherIEEE, Piscataway
Pages337-344
Publication statusPublished - 1996

Cite this

Gürkan, G., Ozge, A. Y., & Robinson, S. M. (1996). Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing. In J. M. Charnes, D. M. Morrice, D. T. Brunner, & J. J. Swain (Eds.), Proceedings of the 1996 Winter Simulation Conference (pp. 337-344). New Jersey: IEEE, Piscataway.
Gürkan, G. ; Ozge, A.Y. ; Robinson, S.M. / Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing. Proceedings of the 1996 Winter Simulation Conference. editor / J.M. Charnes ; D.M. Morrice ; D.T. Brunner ; J.J. Swain. New Jersey : IEEE, Piscataway, 1996. pp. 337-344
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Gürkan, G, Ozge, AY & Robinson, SM 1996, Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing. in JM Charnes, DM Morrice, DT Brunner & JJ Swain (eds), Proceedings of the 1996 Winter Simulation Conference. IEEE, Piscataway, New Jersey, pp. 337-344.

Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing. / Gürkan, G.; Ozge, A.Y.; Robinson, S.M.

Proceedings of the 1996 Winter Simulation Conference. ed. / J.M. Charnes; D.M. Morrice; D.T. Brunner; J.J. Swain. New Jersey : IEEE, Piscataway, 1996. p. 337-344.

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

TY - CHAP

T1 - Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing

AU - Gürkan, G.

AU - Ozge, A.Y.

AU - Robinson, S.M.

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M3 - Chapter

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EP - 344

BT - Proceedings of the 1996 Winter Simulation Conference

A2 - Charnes, J.M.

A2 - Morrice, D.M.

A2 - Brunner, D.T.

A2 - Swain, J.J.

PB - IEEE, Piscataway

CY - New Jersey

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Gürkan G, Ozge AY, Robinson SM. Sample-Path Solution of Stochastic Variational Inequalities, with Applications to Option Pricing. In Charnes JM, Morrice DM, Brunner DT, Swain JJ, editors, Proceedings of the 1996 Winter Simulation Conference. New Jersey: IEEE, Piscataway. 1996. p. 337-344