Olaf Menkens

According to our database, Olaf Menkens authored at least 3 papers between 2005 and 2015.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2015

On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs.

Christoph Belak, Olaf Menkens, Jörn Sass

SIAM J. Control. Optim., 2015

2011

Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus.

Zhaojun Yang, Christian-Oliver Ewald, Olaf Menkens

Math. Methods Oper. Res., 2011

2005

Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach.

Ralf Korn, Olaf Menkens

Math. Methods Oper. Res., 2005