DYNAMIC PROGRAMMING APPLICATIONS IN FINANCE

被引：12

作者：

ELTON, EJ ^{[1
]}

GRUBER, MJ ^{[1
]}

机构：

[1] NEW YORK UNIV,GRAD SCH BUSINESS ADM,NEW YORK,NY

来源：

JOURNAL OF FINANCE | 1971年 / 26卷 / 02期

关键词：

D O I：

10.2307/2326061

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：473 / 506

页数：34

共 42 条

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[22]

Howard R.A, DYNAMIC PROGRAMMING

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JEN, FC ;

WERT, JE .

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[24]

KALYMAN BA, 1970, INT M TIMS LONDON

[25]

LEVY FK, 1966, MANAGE SCI, V12, P236

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MOSSIN, J .

JOURNAL OF BUSINESS, 1968, 41 (02) :215-229

[27] STOCHASTIC CASH BALANCE PROBLEM WITH FIXED COSTS FOR INCREASES AND DECREASES [J].

NEAVE, EH .

MANAGEMENT SCIENCE SERIES A-THEORY, 1970, 16 (07) :472-490

[28] DISCRETE DYNAMIC PROGRAMMING AND CAPITAL ALLOCATION [J].

NEMHAUSER, GL ;

ULLMANN, Z .

MANAGEMENT SCIENCE SERIES A-THEORY, 1969, 15 (09) :494-505

[29] MARKOV MODEL OF TERM STRUCTURE [J].

PYE, G .

QUARTERLY JOURNAL OF ECONOMICS, 1966, 80 (01) :60-72

[30] VALUE OF CALL OPTION ON A BOND [J].

PYE, G .

JOURNAL OF POLITICAL ECONOMY, 1966, 74 (02) :200-205

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