This note proposes a method for pricing high-dimensional American options based on modern methods of multidimensional interpolation. The method allows using sparse grids and thus mitigates the curse of dimensionality. A framework of the pricing algorithm and the corresponding interpolation methods are discussed, and a theorem is demonstrated that suggests that the pricing method is less vulnera...

We consider a number of unit root tests for micro panels where the number of individuals is typically large, but the number of time periods is often very small. As we discuss, the presence of a unit root is closely related to the identification of parameters of interest in this context. Calculations of asymptotic local power and Monte Carlo evidence indicate that two simple t-tests based on ord...

Hyperspectral image (HSI) denoising is essential for enhancing HSI quality and facilitating HSI processing tasks. However, the reduction of noise in HSI is a difficult work, primarily due to the fact that HSI consists much more spectral bands than other remote sensing images. Therefore, comparing with other image denoising jobs that rely primarily on spatial information, efficient HSI denoising...

When independent variables are measured with error, ordinary least squares regression can yield parameter estimates that are biased and inconsistent. This paper documents an inflation of Type I error rate that can also occur. In addition to analytic results, a large-scale Monte Carlo study shows unacceptably high Type I error rates under circumstances that could easily be encountered in practic...

The center for engineering applications of radioisotopes X-ray fluorescence (CEARXRF) graphic user interface (GUI)-Based monte carlo library least squares (MCLLS) code is demonstrated with results from the micro-focused EDXRF analyzer, which can be used to calculate elemental weight fractions in metal alloys or rock samples accurately, by library least-squares regression of the measured X-ray s...

We formulate and evaluate weighted and ordinary least squares procedures for estimating the parametric rate function of a nonhomogeneous Poisson process. Special emphasis is given to processes having an exponential rate function, where the exponent may include a polynomial component or some trigonometric components or both. Theoretical and experimental evidence is provided to explain some surpr...

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of the expected realised variance which cannot be computed by direct Monte Carlo methods. Least squares Monte Carlo methods can be used but the sign of the error is difficult to determine. In this pap...

The prospect of immigration reform has renewed farmers’ concerns of serious labor shortages and cost increases, which may urge highly labor-intensive specialty crop farmers to switch to less-labor-intensive technology. The large-scale mechanization of the Florida sugarcane harvest during the 1970s/80s serves as an historical example of how technologies evolved due to changes in local labor mark...

The revenue risk is considerable in infrastructure project financing arrangements such as build–operate–transfer BOT . A potential mitigation strategy for the revenue risk is a governmental revenue guarantee, where the government secures a minimum amount of revenue for a project. Such a guarantee is: 1 only redeemable at distinct points in time; and 2 more economical if the government limits th...

In this paper we propose an approach for building façade interpretation ranging from uncalibrated images of an image sequence to the extraction of objects such as windows. The approach comprises several novel features, such as determination of the façade planes by robust least squares matching, learning of implicit shape models for objects, particularly windows, and a determination of the latte...