There exist several estimators for valuing the Asian option on the arithmetic mean. Among all variance reduction estimators, the one with the control variate derived from the geometric mean has been shown by Boyle et al. (1997) to perform best so far. In this paper, a new improved control...

In a general normal regression model, this paper first derives the LUB(least upper bound)for the covariance matrix of a GLSE relative to the applied to the (unrestricted) Zellner estimator in the N-equation SUR model and to the GLSE in a heteroscedastic model.

In this paper, first the cross-sectional bond pricing model for individual bonds Kariya (1993) proposed by formulating stochastic discount function (term structure) is applied to Japanese T-bond data and it is observed that the model performs very well as it stands. Second, we generalize the...

In the GMANOVA model or equivalentry growth curve model, shrinkage effects on the MLE are considered under an invariant risk matrix. We first study the fundamental structure of the problem through which we decompose the estimation problem into some conditional problems and then demonstrate some...

This article proves that the stochastic process of returns decribed by S. Taylor's heteroscedastic nonlinear model converges in distribution to an iid normal process (normal white noise) as the number of the terms of temporal aggregetion increases.

This paper extensively investigates the theory of estimating the regression coefficient matrix for the normal GNANOVA model. We explicitly construct estimators which improve the maximum likehood estimator under an invariant scalar loss function. These include the double shrinkage estimators and...