We propose a new numerical method for evaluating long-maturity American put options. Most existing numerical approaches are based on the time discretization...

This paper proposes a dynamic game model of the process through which countries join international environmental agreements (IEAs). The model assumes that ...

This paper analyzes the coalitional Great Fish War model under the assumption that players differ in their time preferences and use different discount rate...

Under some standard market assumptions, evaluating a derivative implies computing the discounted expected value of its future cash flows. In that context, th...

We consider a duopoly competing in quantity, where firms can invest in both innovative and absorptive R&D to reduce their unit production cost, and where t...

It is now well known that in order to solve global environmental problems, such as global warming, a volunteer participation of sovereign countries to inte...

We study the welfare effects of Price Cap Regulation (PCR) and the strategic behaviour it may induce in gas transportation networks by analyzing a stylized g...

We extend the contingent claims framework for the levered firm in explicitly modeling the resolution of financial distress under formal bankruptcy as a non-c...

We develop a contingent claims model of a firm in financial distress with a formal account for renegotiations under the Chapter 11 bankruptcy procedure. Sh...

This paper reviews the use of Fourier transform methods in the pricing of contingent claims. This is a very promosing topic in finance, given the scarcity ...

We explore the implications of the farsightedness assumption on the conjectures of players in a coalitional Great Fish War model with symmetric players, deri...

The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

In this paper, we propose a Partial Differential Equation formulation for the value of an option when the underlying asset's price is described by a discrete...

In this paper we use a dynamic model to analyze the composition and stability of international environmental agreements (IEAs) in an asymmetrical framework. ...

In this paper we develop a model to analyze, in a dynamic framework, how countries join international environmental agreements (IEAs). In the model, where co...

The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...

This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [18]. We characterize the set of equili...

We use a stylized gas system to study the use of access-to-gas storage in a seasonal model. In a duopoly setting, we find that welfare is higher under vert...

In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

This paper proposes a two-player, finite-horizon differential game model to analyze joint implementation in environmental projects, one of the flexible mech...