We consider the problem of finding optimal exercise policies for American options, both under constant and stochastic volatility settings. Rather than work with the usual equations that characterize the price exclusively, we derive and use boundary evolution equations that characterize the...

This paper analyzes optimal replenishment policies that minimize expected discounted cost of multi-product stochastic inventory systems. The distinguishing feature of the multi-product inventory system that we analyze is the existence of correlated demand and joint-replenishment costs across...

This paper describes a method to solve the free-boundary problem that arises in the pricing of American options. Most numerical methods for American option pricing exploit the representation of the option price as the expected pay-off under the risk-neutral measure and calculate the price for a...

We present a method to solve the free-boundary problem that arises in the pricing of classical American options. The method presented herein leverages on a one factor approximation and the moving boundary approach to yield an algorithm which has superior run times and accuracy as compared other...

We consider the instantaneous control of a diffusion process on the real line. Two types of costs are incurred: the holding and transaction costs. The holding cost is incurred at all times at the rate modeled by a convex function of the state. Transactions costs have both a fixed component and a...