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Minor Issues in *Asset Pricing with Incomplete Markets* #226

Open spspitze opened 4 years ago

spspitze commented 4 years ago

Hello again. Some minor typos in Asset Pricing with Incomplete Markets

  1. For the pessimists' beliefs, you copied the optimists' beliefs.

  2. For price_optimistic_beliefs() (and pessimistic) you specify tol=1e-16 in during inputs but the code compares to 1e-12. Also there seems to be no need to pre-assign p_old before the loop starts.

  3. I didn't quite get why the price of the asset had to be weakly greater than 1, as the code assumes. What's the intuition for this restriction?

Thanks as always.

jstac commented 4 years ago

Thanks @spspitze, much appreciated. @Harveyt47, would you mind to take a look?

Harveyt47 commented 4 years ago

Hi @jstac yep I'll have a look at it now.

Harveyt47 commented 4 years ago

@spspitze is right the pessimists transition matrix here should be [[2/3, 1/3], [2/3, 1/3]] I believe.

Also we do not use tol in both price_optimistic_beliefs() and price_pessimistic_beliefs(). I'll make a PR