We quantify the effects on contingent claim valuation of using an estimator for the unknown volatility σ of a geometric Brownian motion (GBM) process. The theme of the paper is to show what difficulties can arise when failing to account for estimation risk. Our narrative uses a direct estimator...

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working problem uses a direct estimator of volatility based...

We develop improved methods for modeling and simulating the streams of patients arriving at a community clinic. In previous practice, random (unscheduled) patient arrivals were often assumed to follow an ordinary Poisson process (so the corresponding patient interarrival times were randomly...

We propose and analyze a new class of estimators for the variance parameter of a steady-state simulation output process. The new estimators are computed by averaging individual estimators from “folded” standardized time series based on overlapping batches composed of consecutive...