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Panel data models with spatially correlated error components
Panel data model Spatial model Error component model
2015/9/24
In this paper we consider a panel data model with error components that are both spatially andtime-wise correlated. The model blends specifications typically considered in the spatial literaturewith t...
Improving GDP Measurement:A Measurement-Error Perspective
Income Output expenditure business cycle expansion contraction recession turning point state-space model dynamic factor model forecast combination
2015/9/18
We provide a new measure of historical U.S. GDP growth, obtained by applying optimal signal-extraction techniques to the noisy expenditure-side and income-side GDPestimates. The quarter-by-quarter val...
Error estimates for binomial approximations of game put options
Error estimates for binomial approximations of game put options
2012/9/13
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...
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Multinomial Approximations American Options Merton's Model
2010/4/28
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...
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
2010/11/1
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 ...