Solving Dynamic Stochastic Control Problems in Finance Using Tabu Search with Variable Scaling-Reference-Cited by-同舟云学术

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Solving Dynamic Stochastic Control Problems in Finance Using Tabu Search with Variable Scaling

Published:1996 Issue: Volume: Page:429-448
ISSN:
Container-title:Meta-Heuristics
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Author:

Glover Fred,Mulvey John M.,Hoyland Kjetil

Publisher

Springer US

Link

http://link.springer.com/content/pdf/10.1007/978-1-4613-1361-8_26.pdf

Reference12 articles.

1. Working paper, SOR-94–01;LP Androulakis,1994

2. M.J. Brennan and E.S. Schwartz, An equilibrium model of bond pricing and a test of market efficiency, Journal of Financial and Quantitative Analysis, 17 (1982) 75.

3. Working paper;F Glover,1995

4. F. Glover and M. Laguna, Tabu search, in: Heuristic Techniques for Combinatorial Problems, ed. C. Reeves (1992).

5. J.C. Hull, Options, Futures and other Derivative Securities, (Prentice Hall, 1993).

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