Exact simulation of stochastic volatility and other affine jump diffusion processes
M Broadie, Ö Kaya - Operations research, 2006 - pubsonline.informs.org
The stochastic differential equations for affine jump diffusion models do not yield exact
solutions that can be directly simulated. Discretization methods can be used for simulating …
solutions that can be directly simulated. Discretization methods can be used for simulating …
Achieving renewable energy, climate, and air quality policy goals: Rural residential investment in solar panel
O Kaya, AM Klepacka, WJ Florkowski - Journal of environmental …, 2019 - Elsevier
Heavy dependence on fossil fuels among rural households contributes to GHG emissions
and air pollution while increasing landfill loads in Poland. This study examines benefits from …
and air pollution while increasing landfill loads in Poland. This study examines benefits from …
[HTML][HTML] Gender role perspectives and job burnout
Women are more likely than men to report physical and emotional exhaustion related to paid
work. While this gender gap in job burnout is common in the literature, the mechanism is …
work. While this gender gap in job burnout is common in the literature, the mechanism is …
Foreign aid and the quest for poverty reduction: Is aid to agriculture effective?
Abstract Development statistics estimate that three quarters of the poor live in rural areas and
most of them depend on agriculture and related activities for their livelihood. Consequently, …
most of them depend on agriculture and related activities for their livelihood. Consequently, …
Addressing climate change with behavioral science: A global intervention tournament in 63 countries
Effectively reducing climate change requires marked, global behavior change. However, it
is unclear which strategies are most likely to motivate people to change their climate beliefs …
is unclear which strategies are most likely to motivate people to change their climate beliefs …
The role of personal and environmental factors in rural homeowner decision to insulate; an example from Poland
O Kaya, AM Klepacka, WJ Florkowski - Renewable and Sustainable …, 2021 - Elsevier
The paper's objective is to quantify factors influencing a rural homeowner's decision to
invest in exterior insulation to improve energy efficiency, lower heating costs, decrease air …
invest in exterior insulation to improve energy efficiency, lower heating costs, decrease air …
Foreign aid, institutional quality and government fiscal behavior in emerging economies: An empirical investigation
Following the aid disbursements, if the total government spending increases less than the
total amount of foreign aid in the recipient developing economies, foreign aid is presumed to …
total amount of foreign aid in the recipient developing economies, foreign aid is presumed to …
Development aid to agriculture and economic growth
The link between foreign aid and economic growth has been a controversial issue with no
strong consensus so far. This paper argues that a possible reason why some studies may …
strong consensus so far. This paper argues that a possible reason why some studies may …
A binomial lattice method for pricing corporate debt and modeling chapter 11 proceedings
M Broadie, Ö Kaya - Journal of Financial and Quantitative Analysis, 2007 - cambridge.org
The pricing of corporate debt is still a challenging and active research area in corporate
finance. Starting with Merton (1974), many authors proposed a structural approach in which the …
finance. Starting with Merton (1974), many authors proposed a structural approach in which the …
Exact simulation of option Greeks under stochastic volatility and jump diffusion models
M Broadie, O Kaya - … of the 2004 Winter Simulation Conference …, 2004 - ieeexplore.ieee.org
This paper derives Monte Carlo simulation estimators to compute option price derivatives, ie,
the 'Greeks,' under Heston's stochastic volatility model and some variants of it which …
the 'Greeks,' under Heston's stochastic volatility model and some variants of it which …