Search Results - subject:"numerical methods"

Pricing American option using a modified fractional black-scholes model under multi-state regime switching

Yousuf, M.; Khaliq, Abdul Q. M. - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-21

Persistent link: https://www.econbiz.de/10014497295

Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation

Bayer, Christian; Luetticke, Ralph - In: Quantitative Economics 11 (2020) 4, pp. 1253-1288

This paper describes a method for solving heterogeneous agent models with aggregate risk and many idiosyncratic states formulated in discrete time. It extends the method proposed by Reiter (2009) and complements recent work by Ahn, Kaplan, Moll, Winberry, and Wolf (2017) on how to solve such...

Persistent link: https://www.econbiz.de/10013189734

Solving discrete time heterogeneous agent models with aggregate risk and many idiosyncratic states by perturbation

Bayer, Christian; Luetticke, Ralph - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1253-1288

Persistent link: https://www.econbiz.de/10012316346

CDS index options in Markov chain models

Herbertsson, Alexander - 2019

Persistent link: https://www.econbiz.de/10011965838

Investment in cleaner technologies in a transboundary pollution dynamic game : a numerical investigation

Frutos, Javier de; Gatón, Víctor; López-Pérez, Paula M. - In: Dynamic games and applications : DGA 12 (2022) 3, pp. 813-843

Persistent link: https://www.econbiz.de/10013433614

On optimality conditions for nonlinear conic programming

Andreani, Roberto; Gómez Bofill, Walter; Haeser, Gabriel; … - In: Mathematics of operations research 47 (2022) 3, pp. 2160-2185

Persistent link: https://www.econbiz.de/10013375036

An envelope method for solving continuous-time stochastic models with occasionally binding constraints

White, Neil - In: Economics letters 214 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013448141

Rumour propagation : an operational research approach by computational and information theory

Gürbüz, Burcu; Mawengkang, Herman; Husein, Ismail; … - In: Central European journal of operations research 30 (2022) 1, pp. 345-365

Persistent link: https://www.econbiz.de/10013185116

Applications of Markov chain approximation methods to optimal control problems in economics

Phelan, Thomas; Eslami, Keyvan - In: Journal of economic dynamics & control 143 (2022), pp. 1-29

Persistent link: https://www.econbiz.de/10013542986

Optimal decision policy for real options under general Markovian dynamics

Cortazar, Gonzalo; Naranjo, Lorenzo; Sainz, Felipe - In: European journal of operational research : EJOR 288 (2021) 2, pp. 634-647

Persistent link: https://www.econbiz.de/10012439274