A market is considered whose index has strongly price-dependent local volatility. A tractable parametrization of the volatility is formulated, and option valuation of a stock with two-factor dynamics is investigated. One factor is the market index; when the second factor is uncorrelated with the...

The security dynamics described by the Black-Scholes equation with price-dependent variance can be approximated as a damped discrete-time hopping process on a recombining binomial tree. In a previous working paper, such a nonuniform tree was explicitly constructed in terms of the continuous-time...

The quot;directquot; approach to interest-rate derivatives, in which the fundamental quantity is a discount-bond price rather than an interest rate, is examined from a discrete-time viewpoint. A recombining binomial tree is constructed which reduces to the Buehler-Kaesler model in the...

Este ensayo es una aproximación a la manera eficiente de seleccionar al universo de contribuyentes y asi obtener la muestra ideal que nos permita tener resultados eficaces al momento de someterlos a una fiscalización, trata de determinar los indicadores microeconomicos más relevantes para...

The diffusion of health care technology is influenced by both the total market share of managed care organizations as well as the level of competition among them. This paper differentiates between HMO penetration and competition and examines their relationship to the adoption of cardiac...

Fictitious play is the oldest and most studied learning process for games. Since the already classical result for zero-sum games, convergence of beliefs to the set of Nash equilibria has been established for some important classes of games, including weighted potential games, supermodular games...

In most of the land tenancy literature the type of contract is exogenous. Also even though these contracts vary a lot among farms, between regions and over time, the theoretical literature has not always acknowledged this idiosyncrasy. Building on the strategic bargaining theory initiated by...

Previous allocation rules for network games, such as the Myerson Value, implicitly or explicitly take the network structure as fixed. In many situations, however, the network structure can be altered by players. This means that the value of alternative network structures (not just sub-networks)...

Recent advances in evolutionary game theory have employed stochastic processes of noise in decisionmaking to select in favor of certain equilibria in coordination games. Noisy decisionmaking is justified on bounded rationality grounds, and consequently the sources of noise are left unmodelled....

This paper applies the theory of zero-sum stochastic games to assess the validity of baseball's ancient wisdom that batting last confers a strategic advantage. Results from numerical calculation of Markov perfect equilibrium suggest that the team that bats last will have an advantage if in fact...