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VIX options in the SABR model SABR模型中的VIX期权
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-07-24 DOI: 10.1016/j.orl.2025.107347
Dan Pirjol , Lingjiong Zhu
{"title":"VIX options in the SABR model","authors":"Dan Pirjol ,&nbsp;Lingjiong Zhu","doi":"10.1016/j.orl.2025.107347","DOIUrl":"10.1016/j.orl.2025.107347","url":null,"abstract":"<div><div>We study the pricing of VIX options in the SABR model <span><math><mi>d</mi><msub><mrow><mi>S</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>=</mo><msub><mrow><mi>σ</mi></mrow><mrow><mi>t</mi></mrow></msub><msubsup><mrow><mi>S</mi></mrow><mrow><mi>t</mi></mrow><mrow><mi>β</mi></mrow></msubsup><mi>d</mi><msub><mrow><mi>B</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>,</mo><mi>d</mi><msub><mrow><mi>σ</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>=</mo><mi>ω</mi><msub><mrow><mi>σ</mi></mrow><mrow><mi>t</mi></mrow></msub><mi>d</mi><msub><mrow><mi>Z</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> where <span><math><msub><mrow><mi>B</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>,</mo><msub><mrow><mi>Z</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> are standard Brownian motions correlated with correlation <span><math><mi>ρ</mi><mo>&lt;</mo><mn>0</mn></math></span> and <span><math><mn>0</mn><mo>≤</mo><mi>β</mi><mo>&lt;</mo><mn>1</mn></math></span>. VIX is expressed as a risk-neutral conditional expectation of an integral over the volatility process <span><math><msub><mrow><mi>v</mi></mrow><mrow><mi>t</mi></mrow></msub><mo>=</mo><msubsup><mrow><mi>S</mi></mrow><mrow><mi>t</mi></mrow><mrow><mi>β</mi><mo>−</mo><mn>1</mn></mrow></msubsup><msub><mrow><mi>σ</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span>. We show that <span><math><msub><mrow><mi>v</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> is the unique solution to a one-dimensional diffusion process. Using the Feller test, we show that <span><math><msub><mrow><mi>v</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> explodes in finite time with non-zero probability. As a consequence, VIX futures and VIX call prices are infinite, and VIX put prices are zero for any maturity. As a remedy, we propose a capped volatility process by capping the drift and diffusion terms in the <span><math><msub><mrow><mi>v</mi></mrow><mrow><mi>t</mi></mrow></msub></math></span> process such that it becomes non-explosive and well-behaved, and study the short-maturity asymptotics for the pricing of VIX options.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107347"},"PeriodicalIF":0.8,"publicationDate":"2025-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144713678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Beyond efficiency: Exploring the cost effects of prioritizing driver satisfaction in vehicle routing 超越效率：探索车辆路线中优先考虑驾驶员满意度的成本效应
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-07-21 DOI: 10.1016/j.orl.2025.107344
Tom Bruinink , Lotte Berghman , Twan Dollevoet
{"title":"Beyond efficiency: Exploring the cost effects of prioritizing driver satisfaction in vehicle routing","authors":"Tom Bruinink ,&nbsp;Lotte Berghman ,&nbsp;Twan Dollevoet","doi":"10.1016/j.orl.2025.107344","DOIUrl":"10.1016/j.orl.2025.107344","url":null,"abstract":"<div><div>Due to a shortage of drivers and a stronger focus on employee well-being, there is an increasing need to take driver satisfaction explicitly into account when solving the Capacitated Vehicle Routing Problem with Time Windows (CVRPTW). We focus on workload balance and region consistency. In a first attempt to assess the consequences of adding driver satisfaction to the original objective of cost minimization, we evaluate both a two-step approach and an integrated approach using real-life instances from two different companies.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"63 ","pages":"Article 107344"},"PeriodicalIF":0.8,"publicationDate":"2025-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144711863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Strong orientation of a connected graph for a crossing family 交叉族连通图的强定向
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-07-08 DOI: 10.1016/j.orl.2025.107333
Ahmad Abdi, Mahsa Dalirrooyfard, Meike Neuwohner
{"title":"Strong orientation of a connected graph for a crossing family","authors":"Ahmad Abdi,&nbsp;Mahsa Dalirrooyfard,&nbsp;Meike Neuwohner","doi":"10.1016/j.orl.2025.107333","DOIUrl":"10.1016/j.orl.2025.107333","url":null,"abstract":"<div><div>Given a connected graph <span><math><mi>G</mi><mo>=</mo><mo>(</mo><mi>V</mi><mo>,</mo><mi>E</mi><mo>)</mo></math></span> and a crossing family <span><math><mi>C</mi></math></span> over ground set <em>V</em> such that <span><math><mo>|</mo><msub><mrow><mi>δ</mi></mrow><mrow><mi>G</mi></mrow></msub><mo>(</mo><mi>U</mi><mo>)</mo><mo>|</mo><mo>≥</mo><mn>2</mn></math></span> for every <span><math><mi>U</mi><mo>∈</mo><mi>C</mi></math></span>, we prove there exists a strong orientation of <em>G</em> for <span><math><mi>C</mi></math></span>, i.e., an orientation of <em>G</em> such that each set in <span><math><mi>C</mi></math></span> has at least one outgoing and at least one incoming arc. This implies the main conjecture in Chudnovsky et al. (2016) <span><span>[3]</span></span>.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"62 ","pages":"Article 107333"},"PeriodicalIF":0.8,"publicationDate":"2025-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144579275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A note about a transition of Ratliff and Rosenthal's order picking algorithm for rectangular warehouses 关于Ratliff和Rosenthal的矩形仓库拣货算法的一个过渡说明
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-06-27 DOI: 10.1016/j.orl.2025.107325
Paul Revenant , Hadrien Cambazard , Nicolas Catusse
{"title":"A note about a transition of Ratliff and Rosenthal's order picking algorithm for rectangular warehouses","authors":"Paul Revenant ,&nbsp;Hadrien Cambazard ,&nbsp;Nicolas Catusse","doi":"10.1016/j.orl.2025.107325","DOIUrl":"10.1016/j.orl.2025.107325","url":null,"abstract":"<div><div>The order picking problem involves determining the shortest tour for a picker to collect a set of products in a warehouse. Ratliff and Rosenthal introduced a linear algorithm to solve this problem for warehouses with two cross aisles, allowing for tours that double-cross entire aisles. In this paper, we prove that in rectangular warehouses, a minimum-length tour always exists that avoids double-crossing any aisle. This result simplifies the problem by eliminating redundant configurations.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"62 ","pages":"Article 107325"},"PeriodicalIF":0.8,"publicationDate":"2025-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144491979","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Approximate mixed type duality for semi-infinite programs having equilibrium constraints 具有平衡约束的半无限规划的近似混合对偶性
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-06-18 DOI: 10.1016/j.orl.2025.107324
Tamanna Yadav, S.K. Gupta, Bishal Biswas
{"title":"Approximate mixed type duality for semi-infinite programs having equilibrium constraints","authors":"Tamanna Yadav,&nbsp;S.K. Gupta,&nbsp;Bishal Biswas","doi":"10.1016/j.orl.2025.107324","DOIUrl":"10.1016/j.orl.2025.107324","url":null,"abstract":"<div><div>This research delves into the study of a multiobjective non-smooth semi-infinite programming problem with equilibrium constraints. Utilizes the locally Lipschitz property of functions, we develop an approximate sufficient optimality result for the semi-infinite program using the approximate <em>M</em>-stationary point. Additionally, we construct an approximate mixed-type dual problem for the considered semi-infinite model and establish approximate duality relations under the generalized convexity assumptions and using the notion of the approximate <em>M</em>-stationary point.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"62 ","pages":"Article 107324"},"PeriodicalIF":0.8,"publicationDate":"2025-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144364856","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Remarks on projected solutions in generalized Nash games 广义纳什对策的投影解
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-06-12 DOI: 10.1016/j.orl.2025.107323
John Cotrina , Carlos Calderón
{"title":"Remarks on projected solutions in generalized Nash games","authors":"John Cotrina ,&nbsp;Carlos Calderón","doi":"10.1016/j.orl.2025.107323","DOIUrl":"10.1016/j.orl.2025.107323","url":null,"abstract":"<div><div>In this paper, we focus on the concept of projected solutions in generalized Nash games and examine their relationship with generalized Nash equilibria. We also establish the existence of projected solutions through an elegant reformulation that allows the use of a result by Arrow and Debreu. Finally, abstract economy is considered as an application.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"62 ","pages":"Article 107323"},"PeriodicalIF":0.8,"publicationDate":"2025-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144298175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
2-approximation algorithms for two variants of the static stochastic joint replenishment problem 静态随机联合补给问题的2-逼近算法
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-06-10 DOI: 10.1016/j.orl.2025.107321
Guillaume Massonnet , Gautier Stauffer
{"title":"2-approximation algorithms for two variants of the static stochastic joint replenishment problem","authors":"Guillaume Massonnet ,&nbsp;Gautier Stauffer","doi":"10.1016/j.orl.2025.107321","DOIUrl":"10.1016/j.orl.2025.107321","url":null,"abstract":"<div><div>In this work, it is demonstrated that the technique developed by Gayon et al. (2017) <span><span>[11]</span></span> for designing 2-approximation algorithms for the one-warehouse multi-retailer (OWMR) problem is highly versatile and can be applied to stochastic variants of the original OWMR problem. The mechanics of this approach are illustrated on two (static) stochastic variants of the Joint Replenishment Problem (JRP). Additionally, the simplicity and versatility of this technique suggest its potential for broader applications in the stochastic setting.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"62 ","pages":"Article 107321"},"PeriodicalIF":0.8,"publicationDate":"2025-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144263863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Mitigating moral hazard in insurance contracts using risk preference design 利用风险偏好设计缓解保险合同中的道德风险
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-06-06 DOI: 10.1016/j.orl.2025.107322
Shutian Liu , Quanyan Zhu
{"title":"Mitigating moral hazard in insurance contracts using risk preference design","authors":"Shutian Liu ,&nbsp;Quanyan Zhu","doi":"10.1016/j.orl.2025.107322","DOIUrl":"10.1016/j.orl.2025.107322","url":null,"abstract":"<div><div>Preferences might be affected by exogenous inputs, such as information generated by advanced technologies. This paper proposes a thought experiment called risk preference design to investigate this influence within a class of principal-agent problems. Risk preference design has potential to mitigate moral hazard in insurance contracting. A quantitative approach is introduced to study the effects. We use a linear contract case study to demonstrate the role of risk preference design in strengthening financial security.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"62 ","pages":"Article 107322"},"PeriodicalIF":0.8,"publicationDate":"2025-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144243076","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Uncertain standard quadratic optimization under distributional assumptions: A chance-constrained epigraphic approach 分布假设下的不确定标准二次优化：一种机会约束的铭文方法
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-05-30 DOI: 10.1016/j.orl.2025.107310
Immanuel M. Bomze , Daniel de Vicente
{"title":"Uncertain standard quadratic optimization under distributional assumptions: A chance-constrained epigraphic approach","authors":"Immanuel M. Bomze ,&nbsp;Daniel de Vicente","doi":"10.1016/j.orl.2025.107310","DOIUrl":"10.1016/j.orl.2025.107310","url":null,"abstract":"<div><div>The standard quadratic optimization problem (StQP) consists of minimizing a quadratic form over the standard simplex. Without convexity or concavity of the quadratic form, the StQP is NP-hard. This problem has many relevant real-life applications ranging from portfolio optimization to pairwise clustering and replicator dynamics.</div><div>Sometimes, the data matrix is uncertain. We investigate models where the distribution of the data matrix is known but where both the StQP after realization of the data matrix and the here-and-now problem are indefinite.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"62 ","pages":"Article 107310"},"PeriodicalIF":0.8,"publicationDate":"2025-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144195870","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The APX-hardness of the Traveling Tournament Problem 旅行比武问题的apx硬度
IF 0.8 4区 管理学
Operations Research Letters Pub Date : 2025-05-30 DOI: 10.1016/j.orl.2025.107311
Jingyang Zhao, Mingyu Xiao
{"title":"The APX-hardness of the Traveling Tournament Problem","authors":"Jingyang Zhao,&nbsp;Mingyu Xiao","doi":"10.1016/j.orl.2025.107311","DOIUrl":"10.1016/j.orl.2025.107311","url":null,"abstract":"<div><div>The Traveling Tournament Problem (TTP-<em>k</em>) is a well-known benchmark problem in sports scheduling, which asks us to design a double round-robin schedule such that each pair of teams plays one game in each other's home venue, no pair of teams plays each other on two consecutive days, each team plays at most <em>k</em> consecutive home games or away games, and the total traveling distance of all the <em>n</em> teams is minimized. TTP-<em>k</em> allows a polynomial-time approximation scheme when <span><math><mi>k</mi><mo>=</mo><mn>2</mn></math></span> and becomes APX-hard when <span><math><mi>k</mi><mo>≥</mo><mi>n</mi><mo>−</mo><mn>1</mn></math></span>. In this paper, we reduce the gap by showing that TTP-<em>k</em> is APX-hard for any fixed <span><math><mi>k</mi><mo>≥</mo><mn>3</mn></math></span>.</div></div>","PeriodicalId":54682,"journal":{"name":"Operations Research Letters","volume":"62 ","pages":"Article 107311"},"PeriodicalIF":0.8,"publicationDate":"2025-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144195869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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