Olaf Menkens

Publication Activity (10 Years)

Years Active: 2005-2015
Publications (10 Years): 0

Top Topics

Transaction Costs

Optimal Solution

Top Venues

SIAM J. Control. Optim.

Publications

Christoph Belak, Olaf Menkens, Jörn Sass
On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs. SIAM J. Control. Optim. 53 (5) (2015)
Zhaojun Yang, Christian-Oliver Ewald, Olaf Menkens
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus. Math. Methods Oper. Res. 74 (1) (2011)
Ralf Korn, Olaf Menkens
Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach. Math. Methods Oper. Res. 62 (1) (2005)