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...

Installment options are a generalization of compound options, where the holder periodically decides whether to keep an option alive or not by paying the ins...

We investigate the effects of a price cap regulation on the consumer’s surplus within the framework of two gas ownership structures. In the case of a firm o...

We study in this paper dynamic equilibrium advertising strategies in a duopoly with asymmetric information structure. The advertising model of Lanchester is...

We consider a differentiated duopoly where firms invest in research and development (R&D) to reduce their production cost. We show that if the firms pl...

We consider a two-player infinite-horizon discrete-time game where the players invest in R&D in order to develop a new technology to reduce production costs....

We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...

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

Using an inifinite-horizon two-player differential game, we derive and compare Bertrand and Cournot equilibria, for a differentiated duopoly engaging in proc...

The objective of this paper is to provide a game-theoretic interpretation of joint implementation in environmental projects. We consider a two-player game an...

Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by ...

We ask whether young agents prefer to work in different-age or same-age production pairs in an overlapping-generations model where wages are reputation-base...

Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...

We consider a set of countries that wish to sign an international agreement to control pollution. The problem is studied from the perspective of cooperativ...

This paper presents a decomposition approach for the solution of the dynamic programming formulation of the Unit Loading Problem in hydroplant management. T...

We analyze the extent to which intergenerational teams provide information on workers' productivity in the long run. We use a dynamic stochastic framework ...

This paper presents a dynamic programming approach for the solution of the Unit Loading Problem in hydroplant management. The model accounts for losses in t...

We consider a given set of offshore platforms and onshore wells, producing known (or estimated) amounts of oil, to be connected to a port. Connections may t...

Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...