Search Results - subject:"State variables"

On the Number of State Variables in Options Pricing

Li, Gang; Zhang, Chu - In: Management Science 56 (2010) 11, pp. 2058-2075

In this paper, we investigate the methodological issue of determining the number of state variables required for … volatilities of various moneyness and maturities as proxies for the transformed state variables. The methodology is applied to the … prices of S& P 500 index options from the period 1996-2005. We find that, in addition to the index value itself, two state …

Persistent link: https://www.econbiz.de/10009191684

Application of optimal control in man power planning

Mouza, Anna-Maria - In: Quality & Quantity: International Journal of Methodology 44 (2010) 2, pp. 199-215

Persistent link: https://www.econbiz.de/10009396877

Modelling the UK and Euro yield curves using the generalized Vasicek model : empirical results fron panel data for one and two factor models

Nowman, Khalid Ben - In: International review of financial analysis 19 (2010) 5, pp. 334-341

Persistent link: https://www.econbiz.de/10009272649

UN MODELO DE VALORACIÓN INTERTEMPORAL DE ACTIVOS SIN CONSUMO: ANÁLISIS EMPÍRICO PARA EL MERCADO ESPAÑOL DE VALORES

Nieto, Belén - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2001

This work makes an empirical evaluation for the Spanish market data of an asset pricing model based on the proposal of Campbell (1993). Due to the log-linear approximation to the budget constrain, the author obtains a model that does not need consumption data in which the factors that tries to...

Persistent link: https://www.econbiz.de/10005212548

A Monte-Carlo Method for Optimal Portfolios

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - Centre Interuniversitaire de Recherche en Analyse des … - 2000

flexible and can be used even when the dimensionality of the set of underlying state variables is large. We implement the …

Persistent link: https://www.econbiz.de/10005100643

Multifractality in rotational percolation models

Sinha, Santanu; Santra, S.B. - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 351-360

In rotationally constrained percolation models, a site of a percolation cluster could be occupied more than once from different directions due to the nature of the rotational constraint. A state variable si is assigned to each lattice site whose value corresponds to the number times it has been...

Persistent link: https://www.econbiz.de/10010872374

Soybean Inventory and Forward Curve Dynamics

Geman, Hélyette; Nguyen, Vu-Nhat - In: Management Science 51 (2005) 7, pp. 1076-1091

We present two results concerning soybean prices. First, we exhibit a simple relationship between stocks and price volatility. The observation of an increasing price volatility with decreasing inventory is often mentioned in the literature, but has so far been documented using a proxy for...

Persistent link: https://www.econbiz.de/10009209040

Soybean Inventory and Forward Curve Dynamics

Nguyen, Vu-Nhat; Geman, Hélyette - Université Paris-Dauphine (Paris IX) - 2005

Persistent link: https://www.econbiz.de/10010706372

Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

Andersen, Leif; Broadie, Mark - In: Management Science 50 (2004) 9, pp. 1222-1234

This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American (i.e., continuously exercisable) and Bermudan (i.e., discretely exercisable) options. The method generates both lower and upper bounds for the Bermudan option price and hence...

Persistent link: https://www.econbiz.de/10009191814

Role of the Minimal State Variable Criterion in Rational Expectations Models

McCallum, Bennett - In: International Tax and Public Finance 6 (1999) 4, pp. 621-639

This paper concerns the minimal-state-variable (MSV) criterion for selection among solutions in rational expectationsmodels that feature a multiplicity of paths that satisfy all of the model's conditions. It compares the MSVcriterion with others, including the widely used saddle-path (dynamic...

Persistent link: https://www.econbiz.de/10005711402