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Estimating the Effect of Smoking on Birth Weight in a Dynamic Model when Fertility is a Choice
Shnaps, Reuven - Society for Computational Economics - SCE - 2001
The negative effect of smoking during a pregnancy on a child's birth weight outcome has been a consistent finding in the economics literature on estimating birth weight production functions. An important result in the literature is that the negative effect of smoking on birth weight is generally...
Persistent link: https://www.econbiz.de/10005132884
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A closed form approach to valuing and hedging basket options
Borovkova, Svetlana; Permana, Ferry - Society for Computational Economics - SCE - 2006
We develop a new approach to valuing and hedging basket options. We consider baskets of assets with potentially … the hedging error. We analyze the option price sensitivities with respect to the assets' volatilities and correlations …; and explain the seemingly paradoxical phenomenon of negative volatility vegas …
Persistent link: https://www.econbiz.de/10005706220
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Portfolio Optimization: which alternatives to standard gaussian model?
Resta, Marina - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345450
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Volatility and the Term Structure: Evidence from Interest Rate Derivatives
Beber, Alessandro; Fabio Fornari. - Society for Computational Economics - SCE - 2004
, we obtain forecasts of volatility that can be useful for derivatives pricing and hedging purposes. Finally, our results …. More specifically, we bring in information about the term structure of implied volatility from derivatives data and we use …
Persistent link: https://www.econbiz.de/10005537624
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Numerical Methods for American Spread Options under Jump Diffusion Processes
Cheang, Gerald H. L.; Chiarella, Carl; Meyer, Gunter; … - Society for Computational Economics - SCE; Finance, … - 2006
This paper examines two numerical methods for pricing of American spread options in the case where both underlying assets follow the jump-diffusion process of Merton (1976). We extend the integral equation representation for the American spread option presented by Broadie and Detemple (1997) to...
Persistent link: https://www.econbiz.de/10005342893
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Pricing problems of perpetual Bermudan options
Muroi, Yoshifumi; Yamada, Takashi - Society for Computational Economics - SCE - 2006
The pricing problem of options with an early exercise feature, such as American options, is one of the important topics in mathematical finance. The pricing formulas for American options, however, have not been found in general and the numerical methods are required to derive the price of these...
Persistent link: https://www.econbiz.de/10005342951
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Alternative Characterizations of the European Continuous-Installment Option Valuation Problem
Roko, Ilir; Ciurlia, Pierangelo - Society for Computational Economics - SCE - 2005
This paper is concerned with the pricing of European continuous-installment options where the aim is to determine the initial premium given the installment payments schedule. The particular feature of this pricing problem is the determination, along with the initial premium, of an optimal...
Persistent link: https://www.econbiz.de/10005343002
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Pricing a Path-dependent American Option by Monte Carlo Simulation
Kijima, Masaaki; Fujiwara, Hajime - Society for Computational Economics - SCE - 2004
In this paper, we evaluate anytime Bermudan options, a class of path-dependent American options, by Monte Carlo simulation. Assuming that the state variable is Markovian, we show that the price of the path-dependent American option satisfies a dynamic programming equation. The continuation value...
Persistent link: https://www.econbiz.de/10005706518
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Advanced estimates of regional accounts: an alternative approach by spatial panels
Corradini, Riccardo - Society for Computational Economics - SCE - 2006
The policies related to regional economic activity developed by European Union (EU) and the role played by regions as economic subject have determined a bigger set of disaggregated statistics at macroeconomic level. The methodologies used nowadays by the Italian national institute of statistics...
Persistent link: https://www.econbiz.de/10005342918
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Genetic Programming Software to Forecast Time Series
Kaboudan, M. A. - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005132915