We consider the American option pricing problem in the case where the underlying asset follows a jump-diffusion process. We apply the method of Jamshidian to transform the problem of solving a homogeneous integro-partial ...
This paper considers the traditional cobweb model with heterogenous risk averse producers whose supply functions involve their estimates of the conditional mean and variance of the future price. The producers seek to learn ...
It is proposed to sample antithetically rather than randomly from the posterior density in Bayesian inference using Monte Carlo integration. Conditions are established under which the number of replications required with ...
Abstract: In this paper the concept of approximate slope, introduced by R. R. Bahadur, is used to make asymptotic global power comparisons of econometric tests. The approximate slope of a test is the rate at which the ...
In finance and economics the key dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. ...
Keane, Michael; Runkle, D(Federal Reserve Bank of Minneapolis, 1989)
his paper discusses at an undergraduate level how forecast rationality can be tested. It explains that forecasters should correctly use any relevant information they knew in making their predictions. It shows that forecast ...
Keane, Michael; Runkle, De(Univ Chicago Press, 1998)
This paper develops generalized method-of-moments tests for the rationality of earnings per share forecasts made by individual stock analysts. We fail to reject the hypothesis of rationality as long as we take into account ...
Given the large number of food choices that consumers make each day it seems likely that they will adopt decision strategies that minimize cognitive effort. We develop a conceptual and empirical model of habitual choice, ...
Bird, Ronald; Mccrae, M; Beggs, J(Australian Economic Papers, 1987)
This paper examines the attitudes of gamblers to risk as displayed by their betting behaviour on horse races. Although traditional economic theory assumes that individuals are averse to risk, numerous authors (e.g. Ali ...
Background Antineoplastic drugs for cancer are often associated with adverse events, which influence patients' physical health, quality of life and survival. However, the modelling of adverse events in cost-effectiveness ...
Keane, Michael; Roemer, Je(Elsevier Science Sa, 2009)
The inter-generational correlation of education in the U.S. is tremendous. For instance, in PSID data from 1990, young males with college-educated parents had a 70% chance of attending college. But those with high school ...
THE PERSONAL RESPONSIBILITY and Work Opportunity Reconciliation Act (PRWORA), signed into law in 1996, transformed the U.S. welfare system. PRWORA replaced the Aid to Families with Dependent Children (AFDC) program with ...
This paper considers a discrete-time model of a financial market with one risky asset and one risk-free asset, where the asset price and wealth dynamics are determined by the interaction of two groups of agents, fundamentalists ...
The dynamics of a financial market with heterogeneous agents are analyzed under different market architectures. We start with a tractable behavioral model under Walrasian market clearing and simulate it under different ...
Objective: Abdominal aortic aneurysms (AAAs) are associated with generalized arterial dilation, torturosity, and altered matrix composition, which suggests a generalized systemic weakness throughout the entire vasculature. ...
We construct synchronously priced indices of securitized property listed on the New York Stock Exchange and London Stock Exchange. The indices are then utilized to examine dynamic information flows between the two markets. ...