The traditional valuation formulae for options are usually based on the non-arbitrage principle in markets with complete asset structures. In this paper, these assumptions are dropped. Only shares of a stock and European call options written on the stock are available in the market and as well...

In this paper the issue of dichotomous growth and development is addressed by means of computer simulation. As previously remarked by many authors (see for example Marengo and Willinger [5], or McCain [6]), computer simulation is a key technique to model economic dynamics. The specific...

A dynamic version of discrete choice theory is presented in order to enable the explicit analysis of the interaction between the micro- and the macro-level of social systems. Suppliers in a cartel market face a social dilemma. They are modelled as boundedly rational decision makers with limited...

The purpose of this paper is two-fold. First, we compare the accuracy of previous studies that analyze the ability of the Composite Index of Leading Indicators (CLI) for predicting turning points. Alternative filters are also proposed. For these comparisons, we adapt the tests developed by...

With the formation of European Monetary Union (EMU) in 1999, the eleven countries that adopted the Euro began to conduct a single monetary policy oriented towards union-wide objectives. The objective of this paper is to construct a small model of the Euro area, which may serve as a laboratory...

The rapid growth of a global communication network together with the establishment of standard negotiation protocols currently leads to the development of multi-agent architectures in which artificial agents can negotiate on behalf of their users [1]. It is to be expected that the complexity of...

The paper provides a method to measure the accuracy of numerical solutions to stochastic dynamic optimization problems. The theorems proven in the paper provide, first, a tight upper bound on the loss in the value function that comes from using the numerical solution rather than the exact...

The last years have been seen an extraordinary flourishing of works studying learning and adaptive behaviour in diverse fields. Following the fashion of computer innovation, there has been a growing interest in application to economic models of learning procedure developed in evolutionary...

It is commonly observed in the market that implied volatilities of standard European options vary with strike levels and expiration dates. The former is usually referred to as volatility skew and the later is volatility term structure. The idea of implied pricing is to recover the dynamics of...