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We provide an efficient way to generate random choices which are consistent with utility maximisation. They are drawn from an approximate uniform distribution on the admissible region on each budget based on a Markovian Monte Carlo algorithm due to Smith (Oper Res 32(6):1296–1308, <CitationRef CitationID="CR11">1984</CitationRef>). This...</citationref>
Persistent link: https://www.econbiz.de/10010989266
Nonlinear regime switching models are becoming increasingly popular in recent applied literature, as they allow capturing state-dependent behaviors which would be otherwise impossible to model. However, despite their popularity, the specification and estimation of these type of models is...
Persistent link: https://www.econbiz.de/10010989268
This paper provides a real option methodology in order to value a pioneer’s R&D investment opportunity allowing for more potential competitors to enter in the market. To incorporate this competitive dimension, we assume that the pioneer may lose the “competitive dividends”   if the real...
Persistent link: https://www.econbiz.de/10010989290
Persistent link: https://www.econbiz.de/10005067837
A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process with drift, conditioned upon the level attained by the process over an arbitrary time interval. The transform arises directly from inversion of the joint distribution function of...
Persistent link: https://www.econbiz.de/10005561500