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Some Experimental Results on the Statistical Properties of Least Squares Estimates in Control Problems
Statistical Properties Control Problems
2015/8/5
The statistical properties of the certainty equivalence control rule and of the least squares
estimates generated by this rule are examined experimentally in a linear model with two
unknown paramete...
Strong Consistency of Least Squares Estimates in Normal Regression
Strong Consistency Least Squares Estimates Normal Regression
2015/8/5
Strong Consistency of Least Squares Estimates in Normal Regression.
Can Analysts Assess Fundamental Risk and Valuation Uncertainty?An Empirical Analysis of Scenario-Based Value Estimates
Analyst Forecasts Scenarios Uncertainty Risk and Uncertainty Valuation
2015/4/27
We use a dataset of sell-side analysts' scenario-based valuation estimates to examine whether analysts reliably assess the risk surrounding a firm's fundamenatal value. We find that the spread in anal...
Review of IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors – Preparers Survey: Preliminary Results
IAS 8 Accounting Policies Changes in Accounting Estimates and Errors
2015/3/9
Review of IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors – Preparers Survey: Preliminary Results.
Review of IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors – Illustrative example: different ways to represent an accounting change
IAS 8 Accounting Policies Changes in Accounting Estimates and Errors
2015/3/9
Review of IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors – Illustrative example: different ways to represent an accounting change.
Adjusted Indian Poverty Estimates for 1999-2000。
Error estimates for binomial approximations of game put options
Error estimates for binomial approximations of game put options
2012/4/6
A game or Israeli option is an American style option where both the writer and the holder have the right to terminate the contract before the expiration time. As shows the fair price for this option c...
On the Savety Loading for Chain Ladder Estimates: A Monte Carlo Simulation Study
Savety Loading Chain Ladder Estimates Monte Carlo Simulation Study
2010/9/30
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Error Estimates Multinomial Approximations American Options Merton's Model
2010/8/30
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Two-sided estimates for stock price distribution densities in jump-diffusion models
Stochastic volatility models Jump-diffusion models Stock
2010/5/31
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Simila...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Multinomial Approximations American Options Merton's Model
2010/4/9
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Covariance Generalized synchronization method Market microstructure noise Quasi-Maximum Likelihood Estimator Refresh Time.
2010/3/13
This article proposes a consistent and efficient estimator of the high-frequency covariance (quadratic covariation) of two arbitrary assets,observed asynchronously with market microstructure noise. Th...
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
Bermudan options Nonparametric regression Boundary condition；Suboptimal stopping rule
2009/7/31
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopp...
High frequency market microstructure noise estimates and liquidity measures
High frequency market microstructure noise estimates and liquidity measures
2009/1/1
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstru...
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
Call and put pricing functions Implied volatility Asymptotic formulas Pareto-type distributions Regularly varying functions
2009/1/1
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility
associated with a European call pricing function. We show that these formulas imply Lee’s moment formulas ...