Michèle Breton
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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...
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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...
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We study in this paper dynamic equilibrium advertising strategies in a duopoly with asymmetric information structure. The advertising model of Lanchester is...
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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...
BibTeX referenceDynamic R&D with Strategic Behavior
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....
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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...
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This paper proposes a two-player, finite-horizon differential game model to analyze joint implementation in environmental projects, one of the flexible mecha...
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Using an inifinite-horizon two-player differential game, we derive and compare Bertrand and Cournot equilibria, for a differentiated duopoly engaging in proc...
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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...
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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 ...
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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...
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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...
BibTeX referenceCharacteristic Functions, Coalitions Stability and Free-riding in a Game of Pollution Control
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...
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This paper presents a decomposition approach for the solution of the dynamic programming formulation of the Unit Loading Problem in hydroplant management. T...
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We analyze the extent to which intergenerational teams provide information on workers' productivity in the long run. We use a dynamic stochastic framework ...
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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...
BibTeX referenceAn Oil Pipeline Design Problem
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...
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Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...
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We consider an asymmetric duopoly producing a homogeneous commodity and facing a competitive demand. Our model incorporates two asymmetries. The first one i...
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A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...
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