Lim Andrew E.B.

Andrew E.B. Lim

Information about the author Andrew E.B. Lim will soon be added to the site.
Found 4 papers in total
Relative entropy, exponential utility, and robust dynamic pricing
Relative entropy, exponential utility, and robust dynamic pricing
2007
In the area of dynamic revenue management, optimal pricing policies are typically...
Pricing American-style derivatives with European call options
Pricing American-style derivatives with European call options
2006
We present a new approach to pricing American-style derivatives that is applicable to...
A note on the optimal economic order quantity for announced price increases in the infinite horizon
A note on the optimal economic order quantity for announced price increases in the infinite horizon
2005
Huang et al. used the Cesaro limit of a savings function to determine the optimal...
Mean-variance portfolio selection with random parameters in a complete market
Mean-variance portfolio selection with random parameters in a complete market
2002
The paper concerns the continuous-time, mean-variance portfolio selection problems in...
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