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Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition
Zhao, Lin; Wijnbergen, Sweder van - 2014
We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by...
Persistent link: https://www.econbiz.de/10010465169
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Optimal search with costly recall
Janssen, Maarten C. W.; Parakhonyak, Alexei - 2008
This paper builds a consumer search model where the cost of going back to stores already searched is explicitly taken into account. We show that the optimal search rule under costly recall is very different from the optimal search rule under perfect recall. Under costly recall, the optimal...
Persistent link: https://www.econbiz.de/10011373816
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Approximate results for a generalized secretary problem
Dietz, Chris; Laan, Dinard van der; Ridder, Ad - 2010
A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented one by one in a random order. It is assumed that b is bigger than or equal to 1 is a preassigned number. It is...
Persistent link: https://www.econbiz.de/10011381898
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Solving penalised American options for jump diffusions using the POST algorithm
Hessing, Jean-Claude; Lange, Rutger-Jan; Ralph, Daniel - 2022
This article establishes the Poisson optional stopping times (POST) method by [22] as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the decision maker is permitted to "stop", i.e. exercise the...
Persistent link: https://www.econbiz.de/10012817150
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Starting an R&D project under uncertainty
Dobbelaere, Sabien; Luttens, Roland Iwan; Peters, Bettina - 2010
We study a two-stage R&D project with an abandonment option. Two types of uncertainty influence the decision to start R …&D. Demand uncertainty is modelled as a lottery between a proportional increase and decrease in demand. Technical uncertainty is … modelled as a lottery between a decrease and increase in the cost to continue R&D. We relate differences in uncertainty to …
Persistent link: https://www.econbiz.de/10011378299
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …
Persistent link: https://www.econbiz.de/10011382430
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Educational choice, initial wage and wage growth
Mazza, Jacopo; Ophem, Hans van - 2020
We investigate the major choice of college graduates where we make choice dependent on expected initial wages and expected wage growth per major. We build a model that allows us to estimate these factors semiparametrically and that corrects for selection bias. We estimate the model on the...
Persistent link: https://www.econbiz.de/10012228687
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Poverty and uncertainty attitudes
Gonzalez Jimenez, Victor H. - 2024
This paper demonstrates that well-established biases in decision making under uncertainty can generate poverty traps. A …
Persistent link: https://www.econbiz.de/10015062969
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Errors in judicial decisions
Sonnemans, Joep; Dijk, Frans van - 2008
In criminal cases the task of the judge is to transform the uncertainty about the facts into the certainty of the …
Persistent link: https://www.econbiz.de/10011377092
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Eliciting discount functions when baseline consumption changes over time
Gerber, Anke; Rohde, Kirsten I. M. - 2014
Many empirical studies on intertemporal choice report preference reversals in the sensethat a preference between a small reward to be received soon and a larger reward to bereceived later reverses as both rewards are equally delayed. Such preference reversals arecommonly interpreted as...
Persistent link: https://www.econbiz.de/10011379439