Access Statistics for Rutger-Jan Lange

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bellman filtering for state-space models 0 0 1 95 0 0 5 145
Can Google Search Data Help Predict Macroeconomic Series? 0 0 0 56 1 1 1 54
Dynamic determinants of optimal global climate policy 0 0 2 2 0 0 2 2
Implicit score-driven filters for time-varying parameter models 0 0 3 11 0 1 10 26
Kullback-Leibler-based characterizations of score-driven updates 0 0 8 8 0 2 10 10
Kullback-Leibler-based characterizations of score-driven updates 0 0 6 6 0 0 6 6
Modeling the Interactions between Volatility and Returns 0 1 1 174 0 1 5 312
Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads 0 0 0 35 0 1 4 62
Systems Innovation, Inertia and Pliability: A mathematical exploration with implications for climate change abatement 0 0 0 24 1 1 2 47
The option value of vacant land and the optimal timing of city extensions 0 0 0 16 0 1 2 37
The option value of vacant land and the optimal timing of city extensions 0 0 0 29 0 0 0 83
The option value of vacant land: Don't build when demand for housing is booming 0 0 0 1 1 1 2 16
The option value of vacant land: Don't build when demand for housing is booming 0 0 2 22 0 2 9 60
This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the decision maker is permitted to “stopâ€, i.e. exercise the option, only at a set of Poisson arrival times; this can be viewed as a liquidity constraint or “penalty†that limits access to optionality. We use monotonicity arguments in function space to establish that the POST algorithm either (i) finds the solution or (ii) demonstrates that no solution exists. The monotonicity of POST carries over to the discretised setting, where we additionally show geometric convergence and provide convergence bounds. For jump-diffusion processes, dense matrix factorisation may be avoided by using a suitable operator-splitting method for which we prove convergence. We also highlight a connection with linear complementarity problems (LCPs). We use the POST algorithm to value American options and compute early-exercise boundaries for Kou’s jump-diffusion model and Heston’s stochastic volatility model, illustrating the breadth of application and numerical reliability of the method 0 0 2 13 0 0 7 43
Volatility Modeling with a Generalized t-distribution 0 0 1 112 0 0 4 179
Total Working Papers 0 1 26 604 3 11 69 1,082
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bellman filtering and smoothing for state–space models 0 0 0 0 1 1 7 7
Can Google search data help predict macroeconomic series? 0 0 1 4 0 0 2 36
Dynamic determinants of optimal global climate policy 0 0 0 0 0 0 0 0
Irreversible investment under predictable growth: Why land stays vacant when housing demand is booming 0 2 5 5 0 4 13 14
Modeling the Interactions between Volatility and Returns using EGARCH‐M 0 0 1 12 1 2 3 49
Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times 1 1 1 7 1 1 2 39
When Is Information Sufficient for Action? Search with Unreliable yet Informative Intelligence 0 0 0 1 0 0 0 16
Total Journal Articles 1 3 8 29 3 8 27 161

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Statistics updated 2025-03-03