We introduce a fast and widely applicable numerical pricing method that uses recursive projections. The method is based on a simple grid sampling of value functions and state-price densities. Numerical illustrations with different American and Bermudan payoffs with dividend paying stocks in the...

This paper provides an introduction to real options, as well as highlighting some important issues that are often neglected by real options analysts. While many books and surveys have been written on real options, there are some ubiquitous concepts that are not well-understood by many authors...

The widely-used estimator of Berry, Levinsohn and Pakes (1995) produces estimates of consumer preferences from a discrete-choice demand model with random coefficients, market-level demand shocks and endogenous prices. We derive numerical theory results characterizing the properties of the nested...

We present a novel approach to address sampling error when discretely approximating a dynamic stochastic programme with a limited finite number of scenarios to represent the underlying path probability distribution. This represents a tentative solution to the problems first identified in our...

We propose a new method for the numerical solution of backward stochastic differential equations (BSDEs) which finds its roots in Fourier analysis. The method consists of an Euler time discretization of the BSDE with certain conditional expectations expressed in terms of Fourier transforms and...