Related papers: Timing Options for a Startup with Early Terminatio…
We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time the investor performs an injection, the investor incurs a…
The problem of stochastic deadline scheduling is considered. A constrained Markov decision process model is introduced in which jobs arrive randomly at a service center with stochastic job sizes, rewards, and completion deadlines. The…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
We introduce a model in which a regulator employs mechanism design to embed her human capital beta signal(s) in a firm's capital structure, in order to enhance the value of her post career change indexed executive stock option contract with…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
This paper proposes two kinds of time-inconsistent preferences (i.e. time flow inconsistency and critical time point inconsistency) to further advance the research on the exit decision of venture capital. Time-inconsistent preference,…
We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping time. The problem consists in optimizing the universal exit…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…
We introduce a simple stochastic volatility model, whose novelty consists in taking into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset…
We develop a model for pricing, lead-time quotation and delay compensation in a Markovian make-to-order production or service system with strategic customers who exhibit risk aversion. Based on a concave utility function of their net…
We propose a discrete time algorithm for the valuation of employee stock options based on exponential indifference prices and taking into account both the possibility of partial exercise of a fraction of the options and the use of a…
We study a continuous time contracting model in which a principal hires a risk averse agent to manage a project over a finite horizon and provides sequential payments whose timing is endogenously determined. The resulting nonzero-sum…
We consider the problem of ESO valuation in continuous time. In particular, we consider models that assume that an appropriate random time serves as a proxy for anything that causes the ESO's holder to exercise the option early, namely,…
Purpose: Understanding the formation of entrepreneurial intentions is critical, given that it is the first step in the entrepreneurial process. Although entrepreneurial intention has been extensively studied, little attention has been paid…
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…
We present a numerical method to compute the optimal maintenance time for a complex dynamic system applied to an example of maintenance of a metallic structure subject to corrosion. An arbitrarily early intervention may be uselessly costly,…
In many scheduling applications, minimizing delays is of high importance. One adverse effect of such delays is that the reward for completion of a job may decay over time. Indeed in healthcare settings, delays in access to care can result…
We study sequential interval scheduling when task start and end times are random. The set of tasks and their weights are known in advance, while each task's start and end times are drawn from known discrete distributions and revealed only…
We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities $\mathcal{P}$. The maturity is specified as the hitting time to level $0$ of…
We study sequences, parametrized by the number of agents, of many agent exit time stochastic control problems with risk-sensitive cost structure. We identify a fully characterizing assumption, under which each of such control problem…