Narrow search
Showing 1 - 10 of 173
Cover Image
Asian and Australian options: A common perspective
Ewald, Christian-Oliver; Menkens, Olaf; Hung Marten … - In: Journal of Economic Dynamics and Control 37 (2013) 5, pp. 1001-1018
We show that Australian options are equivalent to fixed or floating strike Asian options and consequently that by studying Asian options from the Australian perspective and vice versa, much can be gained. One specific application of this “Australian approach” leads to a natural dimension...
Persistent link: https://www.econbiz.de/10011051870
Cover Image
Large traders and illiquid options: Hedging vs. manipulation
Kraft, Holger; Kühn, Christoph - In: Journal of Economic Dynamics and Control 35 (2011) 11, pp. 1898-1915
In this article, we study the effects on derivative pricing arising from price impacts by large traders. When a large … trader issues a derivative and (partially) hedges his risk by trading in the underlying, he influences both his hedge … portfolio and the derivative's payoff. In a Black–Scholes model with a price impact on the drift, we analyze the resulting trade …
Persistent link: https://www.econbiz.de/10011051894
Cover Image
Good timing: The economics of optimal stopping
Davis, Graham A.; Cairns, Robert D. - In: Journal of Economic Dynamics and Control 36 (2012) 2, pp. 255-265
This paper presents an economic interpretation of the optimal “stopping” of perpetual project opportunities under both certainty and uncertainty. Prior to stopping, the expected rate of return from delay exceeds the rate of interest. The expected rate of return from delay is the sum of the...
Persistent link: https://www.econbiz.de/10011051951
Cover Image
Unconventional government debt purchases as a supplement to conventional monetary policy
Ellison, Martin; Tischbirek, Andreas - In: Journal of Economic Dynamics and Control 43 (2014) C, pp. 199-217
In response to the Great Financial Crisis, the Federal Reserve, the Bank of England and many other central banks have adopted unconventional monetary policy instruments. We investigate if one of these, purchases of long-term government debt, could be a valuable addition to conventional...
Persistent link: https://www.econbiz.de/10010776905
Cover Image
Modeling urban housing market dynamics: Can the socio-spatial segregation preserve some social diversity?
Gauvin, Laetitia; Vignes, Annick; Nadal, Jean-Pierre - In: Journal of Economic Dynamics and Control 37 (2013) 7, pp. 1300-1321
Addressing issues of social diversity, we introduce a model of housing transactions between agents who are heterogeneous in their willingness to pay. A key assumption is that agents' preferences for a location depend on both an intrinsic attractiveness and on the social characteristics of the...
Persistent link: https://www.econbiz.de/10010871030
Cover Image
Numerical computation of the optimal vector field: Exemplified by a fishery model
Grass, D. - In: Journal of Economic Dynamics and Control 36 (2012) 10, pp. 1626-1658
Numerous optimal control models analyzed in economics are formulated as discounted infinite time horizon problems, where the defining functions are nonlinear as well in the states as in the controls. As a consequence solutions can often only be found numerically. Moreover, the long run optimal...
Persistent link: https://www.econbiz.de/10010599364
Cover Image
Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem
Chen, Shan; Insley, Margaret - In: Journal of Economic Dynamics and Control 36 (2012) 2, pp. 201-219
This paper investigates whether a regime switching model of stochastic lumber prices is better for the analysis of optimal harvesting problems in forestry than a more traditional single regime model. Prices of lumber derivatives are used to calibrate a regime switching model, with each of two...
Persistent link: https://www.econbiz.de/10010577445
Cover Image
A polyhedral approximation approach to concave numerical dynamic programming
Fukushima, Kenichi; Waki, Yuichiro - In: Journal of Economic Dynamics and Control 37 (2013) 11, pp. 2322-2335
This paper introduces a numerical method for solving concave continuous state dynamic programming problems which is based on a pair of polyhedral approximations of concave functions. The method is globally convergent and produces computable upper and lower bounds on the value function which can...
Persistent link: https://www.econbiz.de/10010703128
Cover Image
Solving DSGE models with a nonlinear moving average
Lan, Hong; Meyer-Gohde, Alexander - In: Journal of Economic Dynamics and Control 37 (2013) 12, pp. 2643-2667
We propose a nonlinear infinite moving average as an alternative to the standard state space policy function for solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a direct mapping from a history of innovations to endogenous variables, decomposes...
Persistent link: https://www.econbiz.de/10010719565
Cover Image
Solvability of perturbation solutions in DSGE models
Lan, Hong; Meyer-Gohde, Alexander - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 366-388
We prove that the undetermined Taylor series coefficients of local approximations to the policy function of arbitrary order in a wide class of discrete time dynamic stochastic general equilibrium (DSGE) models are solvable by standard DSGE perturbation methods under regularity and saddle point...
Persistent link: https://www.econbiz.de/10011051885