Showing 1 - 10 of 348
function and underlying uncertainty. We provide analytic expressions and numerical examples for discount factors assuming … simple utility functions and gaussian uncertainty. …
Persistent link: https://www.econbiz.de/10005135046
We provide an overview of automatic differentiation (AD), a technique for the efficient computation of derivatives of functions defined in some programming language. We give a short explanation of how AD works, indicate the anticipated cost of derivatives computed using AD, and survey what AD...
Persistent link: https://www.econbiz.de/10005343043
multiple currencies. The portfolios are exposed to market risks and currency risks. Uncertainty in asset returns and exchange …
Persistent link: https://www.econbiz.de/10005537444
Persistent link: https://www.econbiz.de/10005537655
This paper studies consumption dynamics and welfare losses under information processing constraints (it is also called 'rational inattention' (RI) in Sims (2003)) in the permanent income hypothesis (PIH) model. It is shown that incorporating RI into the otherwise standard PIH model can...
Persistent link: https://www.econbiz.de/10005412598
This paper is an extended version of the paper 'Practical Guide to Real Options in Discrete Time' (http://econwpa.wustl.edu:80/eps/fin/papers/0405/0405016.pdf), where a general, computationally simple approach to real options in discrete time was suggested. We explicitly formulate conditions of...
Persistent link: https://www.econbiz.de/10005413111
technology, the other - demand uncertainty. The impact of these factors on new technology adoption is analyzed. It is shown that … depending on the situation and type of uncertainty, the diffusion uncertainty and jump uncertainty can produce opposite effects. …
Persistent link: https://www.econbiz.de/10005076973
The goal of the paper is to study how a menu of options affects decisions of a rational agent facing uncertainty over …
Persistent link: https://www.econbiz.de/10005550882
This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD. Using these insights, we develop simple Linear...
Persistent link: https://www.econbiz.de/10005561692
Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general, computationally simple approach to real options in discrete...
Persistent link: https://www.econbiz.de/10005706514