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 proceeding › Chapter › Scientific › peer-review

Original language	English
Title of host publication	Proceedings of the 1996 Winter Simulation Conference
Editors	J.M. Charnes, D.M. Morrice, D.T. Brunner, J.J. Swain
Place of Publication	New Jersey
Publisher	IEEE, Piscataway
Pages	337-344
Publication status	Published - 1996

Cite this

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

author = "G. G{\"u}rkan and A.Y. Ozge and S.M. Robinson",

year = "1996",

language = "English",

pages = "337--344",

editor = "J.M. Charnes and D.M. Morrice and D.T. Brunner and J.J. Swain",

booktitle = "Proceedings of the 1996 Winter Simulation Conference",

publisher = "IEEE, Piscataway",

}

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 proceeding › Chapter › Scientific › peer-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.

PY - 1996

Y1 - 1996

M3 - Chapter

SP - 337

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

ER -