I provide a solution method in the frequency domain for multivariate linear rational expectations models. The method works with the generalized Schur decomposition, providing a numerical implementation of the underlying analytic function solution methods suitable for standard DSGE estimation and...

We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...

This paper presents a bi-level approach to support retailers in making investment decisions in renewable-based systems to provide clean electricity. The proposed model captures the strategic nature of the problem and combines capacity sizing decisions for installed technologies with pricing...

We construct a new family of chance constrained directional models in stochastic data envelopment analysis, generalizing the deterministic directional models and the chance constrained radial models. We prove that chance constrained directional models define the same concept of stochastic...