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Measuring Spatial Price Differentials : A Comparison of Stochastic Index Number Methods

Weinand, Sebastian - 2020

Spatial price comparisons rely to a high degree on the quality of the underlying price data that are collected within or across countries. Below the basic heading level, these price data often exhibit large gaps. Therefore,stochastic index number methods like the CPD method and the GEKS method...

Persistent link: https://www.econbiz.de/10012836330

Just-in-Time Monte Carlo for Path Dependent American Options

Dutt, Samir K.; Welke, Gerd - 2008

We establish simple analytical and numerical methods for propagating stochastic price processes backwards in time, step by step, to the initial value while satisfying all cross-sectional and serial requirements. This proves useful in dealing with complex path-dependent options with American...

Persistent link: https://www.econbiz.de/10014057875

Option Pricing with Polynomial Chaos Expansion Stochastic Bridge Interpolators and Signed Path Dependence

Dias, Fabio - 2020

Recent empirical studies in Equity markets show evidence that, while asset log-returns are largely uncorrelated, it is possible to predict with some accuracy their future sign. Such prediction is made over a given forecast horizon based solely on the observed sign of the cumulative log-return...

Persistent link: https://www.econbiz.de/10012835502

Stability and sample-based approximations of composite stochastic optimization problems

Dentcheva, Darinka; Lin, Yang; Penev, Spiridon - In: Operations research 71 (2023) 5, pp. 1871-1888

Persistent link: https://www.econbiz.de/10014393285

Bias in the estimation of mean reversion in continuous-time Lévy processes

Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19

Persistent link: https://www.econbiz.de/10011432138

Variance reduction estimation for return models with jumps using gamma asymmetric kernels

Song, Yuping; Hou, Weijie; Zhou, Shengyi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-38

Persistent link: https://www.econbiz.de/10012198377

A multi-parametric method for bias correction of DEA efficiency estimators

Zervopoulos, Panagiotis D.; Sklavos, Sokratis; Kanas, … - In: Journal of the Operational Research Society 70 (2019) 4, pp. 655-674

Persistent link: https://www.econbiz.de/10012212910

Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Amaya, Diego; Boudreault, Mathieu; McLeish, Don L. - In: Journal of economic dynamics & control 100 (2019), pp. 297-313

Persistent link: https://www.econbiz.de/10012130974

Bias-optimal vol-of-vol estimation : the role of window overlapping

Toscano, Giacomo; Recchioni, Maria Cristina - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 137-185

Persistent link: https://www.econbiz.de/10013380539

Bias in the Estimation of Mean Reversion in Continuous-Time Lévy Processes

Bao, Yong - 2016

This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in … whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The … performance of the approximate bias and the bias corrected estimator is examined using simulated data …

Persistent link: https://www.econbiz.de/10012997979