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The Economic Threshold with a Stochastic Pest Population: a Real Option Approach
Saphores, Jean-Daniel M. - Département d'Économique, Université Laval - 1999
Using real options, we formulate an optimal stopping model for applying pest control measures when the density of a pest population fluctuates randomly. This model is applied to the control of a foliar pest of apples (the European Red Mite) via a pesticide, and solved numerically by a...
Persistent link: https://www.econbiz.de/10005067710
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The Climate Change Learning Curve
Leach, Andrew J. - Institut d'Économie Appliquée, HEC Montréal (École … - 2004
The key element in the tension between those who believe climate change is an issue and those who do not is essentially the question of whether we are merely in a long period of shock-induced above average temperatures or if we have led to this increase in temperatures by anthropogenic carbon...
Persistent link: https://www.econbiz.de/10005784554
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Robust Equilibrium Yield Curves
Kleshchelski, Isaac; Vincent, Nicolas - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
This paper studies the quantitative implications of the interaction between robust control and stochastic volatility for key asset pricing phenomena. We present an equilibrium term structure model in which output growth is conditionally heteroskedastic. The agent does not know the true model of...
Persistent link: https://www.econbiz.de/10005015305
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Arbitrage-Based Pricing when Volatility is Stochastic.
Bossaerts, P.; Ghysels, E.; Gourieroux, C. - Centre Interuniversitaire de Recherche en Économie … - 1996
The paper investigates the pricing of derivative securities with calendar-time maturities.
Persistent link: https://www.econbiz.de/10005133099
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Arbitrage-Based Pricing when Volatility is Stochastic.
Bossaerts, P.; Ghysels, E.; Gourieroux, C. - Département de Sciences Économiques, Université de … - 1996
The paper investigates the pricing of derivative securities with calendar-time maturities.
Persistent link: https://www.econbiz.de/10005731938
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Robust Equilibrium Yield Curves
Kleshchelski, Isaac; Vincent, Nicolas - Institut d'Économie Appliquée, HEC Montréal (École … - 2007
This paper studies the quantitative implications of the interaction between robust control and stochastic volatility for key asset pricing phenomena. We present an equilibrium term structure model with a representative agent and an output growth process that is conditionally heteroskedastic. The...
Persistent link: https://www.econbiz.de/10005784561
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Contracting for innovation under knightian uncertainty
AMARANTE, Massimiliano; GHOSSOUB, Mario; PHELPS, Edmund - Département de Sciences Économiques, Université de … - 2012
probabilities on the new states. The agents in the economy are classified with respect to their attitude towards this Ambiguity: the … financiers are (locally) Ambiguity-seeking while the consumers are Ambiguity-averse. An entrepreneur and a financier come together … contracting problem does not fall within the standard theory due to the presence of Ambiguity (on the financier’s side) and to the …
Persistent link: https://www.econbiz.de/10010933661
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What is Ambiguity?
AMARANTE, Massimiliano - Centre Interuniversitaire de Recherche en Économie … - 2014
The concept of Ambiguity designates those situations where the information available to the decision maker is …-expected utility models hanging on a shaky ground. In particular, it leaves unanswered basic questions such as: (1) Does Ambiguity … Utility (SEU) in the presence of Ambiguity?, and (4) If so, what kind of behavior should emerge in the presence of Ambiguity …
Persistent link: https://www.econbiz.de/10010927917
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Contracting for Innovation under Knightian Uncertainty
Amarante, Massimiliano; Ghossoub, Mario; Phelps, Edmund - Centre Interuniversitaire de Recherche en Économie … - 2012
probabilities on the new states. The agents in the economy are classified with respect to their attitude towards this Ambiguity: the … financiers are (locally) Ambiguity-seeking while the consumers are Ambiguity-averse. An entrepreneur and a financier come … contracting problem does not fall within the standard theory due to the presence of Ambiguity (on the financier’s side) and to the …
Persistent link: https://www.econbiz.de/10010616508
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What is ambiguity?
AMARANTE, Massimiliano - Département de Sciences Économiques, Université de … - 2014
The concept of Ambiguity designates those situations where the information available to the decision maker is …-expected utility models hanging on a shaky ground. In particular, it leaves unanswered basic questions such as: (1) Does Ambiguity … Utility (SEU) in the presence of Ambiguity?; and (4) If so, what kind of behavior should emerge in the presence of Ambiguity …
Persistent link: https://www.econbiz.de/10011186226