We study the impact of financial innovations on real investment decisions within the framework of an incomplete market economy comprised of firms, investors, and an intermediary. The firms face unique investment opportunities that arise in their business operations and can be undertaken at given...

We study the impact of financial innovations on real investment decisions within the framework of an incomplete market economy comprised of firms, investors, and an intermediary. The firms face unique investment opportunities that arise in their business operations and can be undertaken at given...

1 Introduction -- 2 Literature Review -- 3 The Valuation of Options on Capacity -- 4 Extensions to the Option Valuation Model -- 5 Managerial Insights and Conclusion -- References -- List of Figures -- List of Tables.

At the heart of any decision problem is some degree of "flexibility" in how to act. Most often, we aim to extract greatest possible value from this inherent flexibility. The three essays compiled here are aligned with this same general aim, but we have an important secondary concern: to...

The Cobb-Douglas production function with Abel's (1983) model is extended herein, and real options analysis for entry-exit decision making with Dixit's (1989) model under exchange rate uncertainty. A general form with the first order of degree homothetic production functions is also considered...

The classic contingent-claims pricing model views the borrower’s right to default ona mortgage as a put option. By defaulting on a mortgage the borrower effectivelysells the property to the lender with the current value of the mortgage. The primarygoal of this dissertation is to develop a...

We present a general framework for pricing life insurance contracts embedding a surrender option. The model allows for several sources of risk, such as uncertainty in mortality, interest rates and other financial factors. We describe and compare two numerical schemes based on the Least Squares...