Search Results - subject:"perturbation method"

A double-layerd optimisation approach for the integrated due date assignment and scheduling problem

Zhang, Rui; Wu, Cheng - In: International journal of production research 50 (2011) 1, pp. 5-22

Persistent link: https://www.econbiz.de/10009526866

Sticky wage Nash bargaining model with incomplete information

Antosiewicz, Marek; Bukowski, Maciej Krzysztof; Kowal, Pawel - Instytut Badań Strukturalnych - 2011

We develop an alternative novel method of introducing real wage rigidity into an otherwise standard search and matching model. Wages are constantly renegotiated through Nash wage bargaining, however negotiations are based on imperfect information regarding the productivity level and consequently...

Persistent link: https://www.econbiz.de/10011099263

Approximation Errors of Perturbation Methods in Solving a Class of Dynamic Stochastic General Equilibrium Models

Liu, Xuan; Cui, Zhiwei - In: Computational Economics 38 (2011) 2, pp. 107-128

Persistent link: https://www.econbiz.de/10009326734

SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?

ZHU, SONG-PING; CHEN, WEN-TING - In: International Journal of Theoretical and Applied … 14 (2011) 08, pp. 1279-1297

In this paper, we present a correction to Merton (1973)'s well-known classical case of pricing perpetual American put options by considering the same pricing problem under a stochastic volatility model with the assumption that the volatility is slowly varying. Two analytic formulae for the...

Persistent link: https://www.econbiz.de/10009415370

Should an American option be exercised earlier or later if volatility is not assumed to be a constant?

Zhu, Song-ping; Chen, Wen-ting - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1279-1297

Persistent link: https://www.econbiz.de/10009541996

Solving dynamic general equilibrium models using a second-order approximation to the policy function

Schmitt-Grohé, Stephanie; Uribe, Martín - 2001

This paper derives a second-order approximation to the solution of rational expectations, dynamic, general equilibrium models. To illustrate its applicability, the method is used to solve the dynamics of a simple neoclassical model. The paper closes with a brief description of a set of MATLAB...

Persistent link: https://www.econbiz.de/10010318340

A Reliable Technique for Accurately Computing Unconditional Variances

Anderson, Gary S. - Society for Computational Economics - SCE - 2006

This paper provides formulae for computing perturbation method approximations of unconditional variances of variables …, one can obtain perturbation method approximations for the covariances along with the other Taylor series approximation …

Persistent link: https://www.econbiz.de/10005342860

Optimal Experimentation a Comparison of the Perturbation and Dynamic Programming Algorithms

Gapen, Michael T.; Cosimano, Thomas F. - Society for Computational Economics - SCE - 2005

Cosimano (2003) uses the perturbation method to approximate optimal experimentation problems in the neighborhood of the …). Cosimano and Gapen (2005) develop a computer algorithm which implements the perturbation method for any economic problem within …. 2003. Optimal Experimentation and the Perturbation Method around the Augmented Linear Regulator Problem. Working Paper …

Persistent link: https://www.econbiz.de/10005706327

Calculating and Using Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models

Sims, Christopher A.; Kim, Jinill; Kim, Sunghyun - Econometric Society - 2004

It is now widely understood how to obtain first-order accurate approximations to the solution to a dynamic, stochastic general equilibrium model (DSGE model). Such solutions are fairly easy to construct and useful for a wide variety of purposes. They are likely to be accurate enough to be a...

Persistent link: https://www.econbiz.de/10005063608

Solving SDGE Models: A New Algorithm for Sylvester Equation

Kamenik, Ondrej - Society for Computational Economics - SCE - 2004

This paper presents a new numerical algorithm for solving Sylvester equation involved in higher order perturbation … method used for solution of stochastic dynamic general equilibrium models. The new algorithm is better than methods used so …

Persistent link: https://www.econbiz.de/10005345346