This article presents a simple yet powerful simulation-based approach for approximating the values of prices and Greeks (i.e. derivatives with respect to the underlying spot prices, such as delta, gamma, etc) for American-style options. This approach is primarily based upon the Least Squares...

This article presents a fast yet effective simulation-based approach for estimating the upper bounds of American-style option prices without nested simulations. We derive the analytical representation for the 'correct' martingale that is to be applied to the dual pricing formula to give the...

We consider Arrow's model for an economy engaged in consuming a randomly distributed natural resource, and in exploring previously unexplored land to find more of the resource. After modifying the model so that each discovery reveals a random amount of the resource, we use dynamic programming...

Policymakers and the general public have expressed increasing concern over rising health care costs. The Certificate-of-Need (CON) programs began at the federal level in 1974 to stem the increase in costs by limiting hospital expansion and acquisition of equipment. The federal requirement for...

States are increasingly resorting to raising the minimum wage to boost the earnings of those at the bottom of the income distribution. In this paper, we examine the effects of minimum wage increases on the health of low-educated Hispanic women, who constitute a growing part of the U.S. labor...

We extend the semi-parametric estimation method for dynamic discrete choice models using Hotz and Miller's (1993) conditional choice probability (CCP) approach to the setting where individuals may have hyperbolic discounting time preferences and may be naive about their time inconsistency. We...

The Earned Income Tax Credit (EITC) is the largest anti-poverty program in the U.S. In 1993, the EITC benefit levels were changed significantly based on the number of children in the family such that families with two or more children experienced an exogenous expansion in their incomes. Using...