Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option prices, we obtain similar pricing errors than with implied volatility alone as in the Hull-White case. When we specialize this model to an equilibrium recursive utility model, we show through simulations that option prices are more informative than stock prices about the structural parameters of the model. We also show that a simple method of moments with a panel of option prices provides good estimates of the parameters of the model. This lays the ground for an empirical assessment of this equilibrium model with S&P 500 option prices in terms of pricing errors.

Industrial Adjustment: Context, Causes, Impacts and Methods for Analysis

Adjustement is an ongoing process by which factors of reallocated to equalize their returns in different uses. Adjustment occurs though market mechanisms or intrafirm reallocation of resources as a result of changes in terms of trade, government policies, resource availability, technological change, etc. These changes alter production opportunities and production, transaction and information costs, and consequently modify production functions, organizational design, etc. In this paper we define adjustment (section 2); review empirical estimates of the extent of adjustment in Canada and abroad (section 3); review selected features of the trade policy and adjustment context of relevance for policy formulation among which: slow growth, a shift to services, a shift to the Pacific Rim, the internationalization of production, investment distribution communications the growing use of NTB's, changes in foreign direct investment patterns, intrafirm and intraindustry trade, interregional trade flows, differences in micro economic adjustment processes of adjustment as between subsidiaries and Canadian companies (section 4); examine methodologies and results of studies of the impact of trade liberalization on jobs (section 5); and review the R. Harris general equilibrium model (section 6). Our conclusion emphasizes the importance of harmonizing commercial and domestic policies dealing with adjustment (section 7). We close with a bibliography of relevant publications.

Factors associated with psychotropic drug use among community-dwelling older persons: A review of empirical studies

Affiliation: Faculté de pharmacie, Université de Montréal