Related papers: Timing Options for a Startup with Early Terminatio…
We propose a new framework to value employee stock options (ESOs) that captures multiple exercises of different quantities over time. We also model the ESO holder's job termination risk and incorporate its impact on the payoffs of both…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties --volatility and…
We study how a platform should design early exposure and rewards when creators strategically choose quality before release. A short testing window with a pass/fail bar induces a pass probability, the slope of which is the key sufficient…
Deciding the best future execution time is a critical task in many business activities while evolving time series forecasting, and optimal timing strategy provides such a solution, which is driven by observed data. This solution has plenty…
We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mean-reverting process. Transaction fees are exogenous…
Search engine ranking pipelines are commonly based on large ensembles of machine-learned decision trees. The tight constraints on query response time recently motivated researchers to investigate algorithms to make faster the traversal of…
We propose an evolutionary competition model to investigate the green transition of firms, highlighting the role of adjustment costs, dynamically adjusted transition risk, and green technology progress in this process. Firms base their…
We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random,…
Attitudes toward risk underlie virtually every important economic decision an individual makes. In this experimental study, I examine how introducing a time delay into the execution of an investment plan influences individuals' risk…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…
A renewal system divides the slotted timeline into back to back time periods called renewal frames. At the beginning of each frame, it chooses a policy from a set of options for that frame. The policy determines the duration of the frame,…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…
Contract scheduling is a general technique that allows to design a system with interruptible capabilities, given an algorithm that is not necessarily interruptible. Previous work on this topic has largely assumed that the interruption is a…
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of…
This paper considers an opportunistic scheduling problem over a renewal system. A controller observes a random event at the beginning of each renewal frame and then chooses an action in response to the event, which affects the duration of…
This paper provides a general characterization of subgame perfect equilibria for strategic timing problems, where two firms have the (real) option to make an irreversible investment. Profit streams are uncertain and depend on the market…