In the framework of the classical Black and Scholes model of security market we present the explicit formulas of the minimal hedging portfolios for a number of reward processes of the ``classical'', lookback and Asian type. These results complement the solutions previously received by Mc~Kean,...

This paper discusses the pitfalls in the pricing of barrier options a pproximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where price...

We show that revealed preference tests, which allow a small degree of

The paper discusses different methods to deal with unobservable variables: Kalman-Filtering, principal components, factor analysis, LISREL, MIMIC, DYMIMIC, PLS with respect to parameter estimation and forecasting. We got very good results by an extension of Kalman-Filtering called AS (general...

The paper reports laboratory experiments on a day-to-day route choice game with two routes. Subjects had to choose between a main road M and a side road S. The capacity was greater for the main road. 18 subjects participated in each session. In equilibrium the number of subjects is 12 on M and 6...

Non-parametric data envelopment analysis (DEA) estimators based on linear programming methods have been widely applied in analyses of productive efficiency. The distributions of these estimators remain unknown except in the simple case of one input and one output, and previous bootstrap methods...

The paper reports simulations applied on two similar congestion games: the first is the classical minority game. The second one is a asymmetric variation of the minority game with linear payoff functions. For each game simulation results based on an extended reinforcement algorithm are compared...

A model of new-product diffusion is proposed in which a site-percolation dynamics represents socially-driven diffusion of knowledge about the product's characteristics in a population of potential buyers. A consumer buys the new product if her valuation of it is not below the price of the...

We study a model of local evolution. Players are located on a network and play games agains their neighbors. Players are characterized by three properties: (1) The stage game strategies they use agains their neighbors. (2) The repeated game strategy that determines the former. (3) A learning...

This paper applies the idea of evolution to a spatial model. We assume that prisoners' dilemmas or coordination games are played repeatedly within neighborhoods where players do not optimize but instead copy successful strategies. Discriminatory behavior of players is introduced representing...