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In this article we expand and improve the Internet company valuation model of Schwartz and Moon (2000) in numerous ways. By using techniques from real options theory and modern capital budgeting, the earlier paper demonstrated that uncertainty about key variables plays a major role in the valuation of high growth Internet companies. Presently, we make the(More)
The authors use risk-neutral option pricing theory to value the guaranteed minimum death benefit (GMDB) in variable annuities (VAs) and some recently introduced mutual funds. A variety of death benefits, such as return-of-premium, rising floors, and " ratches, " are analyzed. Specifically, the authors compute the fair insurance risk fee, charged to assets,(More)
We nd tight upper and lower bounds on the growth rate for the covering numbers of functions of bounded variation in the L 1 metric in terms of all the relevant constants. We also nd upper and lower bounds on covering numbers for general function classes over the family of L 1 (dP) metrics, in terms of a scale-sensitive combinatorial dimension of the(More)
—The authors construct a class of elementary nonpara-metric output predictors of an unknown discrete-time nonlinear fading memory system. Their algorithms predict asymptotically well for every bounded input sequence, every disturbance sequence in certain classes, and every linear or nonlinear system that is continuous and asymptotically time-invariant,(More)
We consider the problem of learning of an arbitrary function selected from the non-smooth class of functions that are of bounded variation. Bounds on the prediction errors resulting from sequential type algorithms are achieved for various scenarios. It is shown that for any algorithm there exists a sequence of samples and a function that results in a unit(More)