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This paper provides a quantitative assessment of equity options priced at the Zero Lower Bound, i.e., when interest rates are set essentially to zero. We obtain closed form formulas for American options when the Zero Lower Bound policy holds. We perform numerical implementation of American put...
Persistent link: https://www.econbiz.de/10012632016
This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The...
Persistent link: https://www.econbiz.de/10012612379
In recent years, the actuarial literature involving machine learning in insurance pricing has flourished. However, most actuarial machine learning research focuses on property and casualty insurance, while using such techniques in health insurance is yet to be explored. In this paper, we discuss...
Persistent link: https://www.econbiz.de/10015409036
Since the advent of Markov chain Monte Carlo (MCMC) methods in the early 1990s, Bayesian methods have been proposed for a large and growing number of applications. One of the main advantages of Bayesian inference is the ability to deal with many different sources of uncertainty, including data,...
Persistent link: https://www.econbiz.de/10012586923
The computational revolution in simulation techniques has shown to become a key ingredient in the field of Bayesian econometrics and opened new possibilities to study complex economic and financial phenomena. Applications include risk measurement, forecasting, assessment of policy effectiveness...
Persistent link: https://www.econbiz.de/10012389851
Most financial signals show time dependency that, combined with noisy and extreme events, poses serious problems in the parameter estimations of statistical models. Moreover, when addressing asset pricing, portfolio selection, and investment strategies, accurate estimates of the relationship...
Persistent link: https://www.econbiz.de/10013272673