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Bootstrapped Insights into Empirical Applications of Stochastic Dominance
Nelson, Ray D.; Pope, Rulon D. - In: Management Science 37 (1991) 9, pp. 1182-1194
Bootstrapping, a very versatile statistical technique, significantly amplifies the understanding and success of empirical applications of stochastic dominance. Its ability to calculate the standard deviations of order statistics reveals the uncertainty of the critical estimates of the tails of...
Persistent link: https://www.econbiz.de/10009204562
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Path-Dependent Options: Extending the Monte Carlo Simulation Approach
Grant, Dwight; Vora, Gautam; Weeks, David - In: Management Science 43 (1997) 11, pp. 1589-1602
Monte Carlo simulation has been used to value options since Boyle's seminal paper. Monte Carlo simulation, however, has … options by linking forward-moving simulation and the backward-moving recursion of dynamic programming through an iterative …
Persistent link: https://www.econbiz.de/10009208564
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Conditional Monte Carlo Estimation of Quantile Sensitivities
Fu, Michael C.; Hong, L. Jeff; Hu, Jian-Qiang - In: Management Science 55 (2009) 12, pp. 2019-2027
Estimating quantile sensitivities is important in many optimization applications, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating quantile...
Persistent link: https://www.econbiz.de/10009208830
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Quasi-Monte Carlo Methods in Numerical Finance
Joy, Corwin; Boyle, Phelim P.; Tan, Ken Seng - In: Management Science 42 (1996) 6, pp. 926-938
This paper introduces and illustrates a new version of the Monte Carlo method that has attractive properties for the numerical valuation of derivatives. The traditional Monte Carlo method has proven to be a powerful and flexible tool for many types of derivatives calculations. Under the...
Persistent link: https://www.econbiz.de/10009208875
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Efficient Design and Sensitivity Analysis of Control Charts Using Monte Carlo Simulation
Fu, Michael C.; Hu, Jian-Qiang - In: Management Science 45 (1999) 3, pp. 395-413
schemes has necessitated the use of Monte Carlo simulation in the design process, especially in the evaluation of performance … sensitivity analysis when Monte Carlo simulation is employed. We illustrate the techniques on a general control chart that … includes the Shewhart chart and the exponentially-weighted moving average chart as special cases. Simulation examples comparing …
Persistent link: https://www.econbiz.de/10009214156
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The Role of Earnings Information in Corporate Dividend Decisions
Hsu, Jumming; Wang, Xu-Ming; Wu, Chunchi - In: Management Science 44 (1998) 12-Part-2, pp. 173-173
This paper examines the role of earnings information in the determination of dividend policy. We decompose accounting earnings into permanent and transitory components and postulate that dividend policy is driven by sustainable permanent earnings. Two measures of permanent earnings are proposed....
Persistent link: https://www.econbiz.de/10009189790
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Empirical Martingale Simulation for Asset Prices
Duan, Jin-Chuan; Simonato, Jean-Guy - In: Management Science 44 (1998) 9, pp. 1218-1233
This paper proposes a simple modification to the standard Monte Carlo simulation procedure for computing the prices of … price. This procedure is referred to as the empirical martingale simulation (EMS). The EMS ensures that the price estimated … by simulation satisfies the rational option pricing bounds. The EMS yields a substantial error reduction for the price …
Persistent link: https://www.econbiz.de/10009191311
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Importance Sampling for Portfolio Credit Risk
Glasserman, Paul; Li, Jingyi - In: Management Science 51 (2005) 11, pp. 1643-1656
Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other … instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because …
Persistent link: https://www.econbiz.de/10009191545
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Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
Andersen, Leif; Broadie, Mark - In: Management Science 50 (2004) 9, pp. 1222-1234
This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American …
Persistent link: https://www.econbiz.de/10009191814
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Arc Reduction and Path Preference in Stochastic Acyclic Networks
Bard, Jonathan F.; Bennett, James E. - In: Management Science 37 (1991) 2, pp. 198-215
. Alternatively, we develop a reduction algorithm based on stochastic dominance to speed up the computations. Monte Carlo simulation …
Persistent link: https://www.econbiz.de/10009191869