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NNNLspecification is not consistent with random utility theory (RUT), the UMNL form is preferred. This article introduces distinct … the performance of simulation studies with the nested logit model. In simulation studies with the nested logit model using … NNNL software (e. g. PROC MDC in SAS(c) ), it must be pointed out that the simulation of the utility function's error terms …
Persistent link: https://www.econbiz.de/10005854714
Bermudan options using regressionmethods and Monte Carlo simulation. These methods rely on conditionalprobabilistic … initial positions. Assuming that the price of a Bermudanoption can be evaluated sufficiently accurate, we develop a method …
Persistent link: https://www.econbiz.de/10005860987
. (2001) are considered. The simulation results indicate thatthe panel-t and standardized LR-bar statistic have the best size …
Persistent link: https://www.econbiz.de/10005861016
In this paper we carry over the concept of reverse probabilistic representations developed in Milstein, Schoenmakers, Spokoiny (2004) for diffusion processes, to discrete time Markov chains. We outline the construction of reverse chains in several situations and apply this to processes which are...
Persistent link: https://www.econbiz.de/10005861319
small number of steps ahead. This approach allows constructing both upper and low bounds for the true price by Monte Carlo …
Persistent link: https://www.econbiz.de/10005861418
models (SVECMs) with long-run identifying restrictions on the impulse response functions. The simulation study compares …
Persistent link: https://www.econbiz.de/10005861837
In this paper, we review the most common specifications of discrete-time stochasticvolatility (SV) models and illustrate the major principles of corresponding MarkovChain Monte Carlo (MCMC) based statistical inference. We provide a hands-on approachwhich is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10005862429
regression based algorithms together with a new approach towards constructing upper bounds for the price of the option... …
Persistent link: https://www.econbiz.de/10005854704