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A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes

Flodén, Martin - In: Economics letters 99 (2008) 3, pp. 516-520

Persistent link: https://www.econbiz.de/10003726236

Härdle, Wolfgang (contributor); … - 2008

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known as "volatility smile". They provide a discrete...

Persistent link: https://www.econbiz.de/10003727608

Numerics of implied binomial trees

Härdle, Wolfgang; Mysicková, Alena - In: Applied quantitative finance, (pp. 209-231). 2009

Persistent link: https://www.econbiz.de/10003746028

Numerical scaling of ratio scale utilities in multi-criteria decision analysis with geometric model

Leskinen, P. - In: Journal of the Operational Research Society : OR 59 (2008) 3, pp. 407-415

Persistent link: https://www.econbiz.de/10003699159

Economic growth : theory and numerical solution methods

Novales, Alfonso; Fernández, Esther; Ruíz, Jesús - 2009

Persistent link: https://www.econbiz.de/10003707256

What order? : perturbation methods for stochastic volatility asset pricing and business cycle models

De Groot, Oliver - 2016

Persistent link: https://www.econbiz.de/10011539654

What order? : perturbation methods for stochastic volatility asset pricing and business cycle models

De Groot, Oliver - 2016

Persistent link: https://www.econbiz.de/10011539664

Einführung in die numerische Berechnung von Finanzderivaten : computational finance

Seydel, Rüdiger - 2017 - 2. Auflage

Persistent link: https://www.econbiz.de/10011482823

Methoden der angewandten Wirtschaftsforschung : eine Einführung in die numerische Gleichgewichtsanalyse

Böhringer, Christoph; Wiegard, Wolfgang - 2003

Shoven und Whalley, die Wegbereiter der angewandten Gleichgewichtsanalyse, haben in ihrem bekannten JEL-Übersichtsartikel von 1984 das Los der Gleichgewichtsmodellierer als "jack of all trades" beklagt. Ziel unseres Beitrags ist es, angenehmere "Wege zum Gleichgewicht" aufzuzeigen. Unser...

Persistent link: https://www.econbiz.de/10011448167

Computation of business cycle models : a comparison of numerical methods

Heer, Burkhard; Maußner, Alfred - 2004

We compare the numerical methods that are most widely applied in the computation of the standard business cycle model with flexible labor. The numerical techniques imply economically insignificant differences with regard to business cycle summary statistics except for the volatility of...

Persistent link: https://www.econbiz.de/10011449266