Search Results - subject:"Numerical quadrature"

Pricing exotic derivatives exploiting structure

Sesana, Debora; Marazzina, Daniele; Fusai, Gianluca - In: European Journal of Operational Research 236 (2014) 1, pp. 369-381

the structure of the matrix arising from the numerical quadrature of the pricing backward formulas to devise a convenient …

Persistent link: https://www.econbiz.de/10011052578

Pricing exotic derivatives exploiting structure

Sesana, Debora; Marazzina, Daniele; Fusai, Gianluca - In: European journal of operational research : EJOR 236 (2014) 1, pp. 369-381

Persistent link: https://www.econbiz.de/10010361703

Exact simultaneous confidence intervals for a finite set of contrasts of three, four or five generally correlated normal means

Liu, W.; Ah-Kine, P.; Bretz, F.; Hayter, A.J. - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 141-148

integral for a general p≥3. This expression allows one to compute quickly and accurately, by using numerical quadrature, the …

Persistent link: https://www.econbiz.de/10011056381

A test of the extreme value type I assumption in the bus engine replacement model

Larsen, Bradley J.; Oswald, Florian; Reich, Gregor; … - In: Economics Letters 116 (2012) 2, pp. 213-216

This note tests the assumption of dynamic discrete choice models that underlying utility shocks have an extreme value type I distribution. We find that extreme value type I shocks cannot be rejected in most specifications of the Rust (1987) bus engine replacement model.

Persistent link: https://www.econbiz.de/10010597205