250 research outputs found
Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs
We give short proofs of general theorems about optimal entry and exit problems in Levy models, when payoff streams may have discontinuities and be non-monotone. As applications, we consider exit and entry problems in the theory of real options, and an entry problem with an
embedded option to exit
DEVELOPMENT OF A STRATEGIC BUSINESS DECISION-MAKING ENVIRONMENT FOR COMMERCIAL JET ENGINE SELECTION
Presented at the 41st AIAA Aerospace Sciences, Meeting and Exhibit, Reno, NV, January 6-10, 2003.In today?s business climate, aerospace companies
are more than ever in need of rational methods and
techniques that provide insights as to the best
strategies which may be pursued for increased
profitability and risk mitigation. However, the use of subjective, anecdotal decision-making remains
prevalent due to the absence of analytical methods
capable of capturing and forecasting future needs.
Negotiations between airframe and engine
manufacturers could benefit greatly from a
structured environment that facilitates efficient,
rational, decision-making. Creation of such an
environment can be developed through a parametric
physics-based, stochastic formulation that uses
meta-models to expedite the process. This paper
describes such an approach in order to demonstrate
the types of insights that might be gained as an
engine manufacturer tries to forecast the effects of
uncertainties and future vehicle requirements on
engine related characteristics for the design of a
hypothetical regional business jet. Game theory
concepts are suggested as a potential means by
which one can attach business payoffs to the
selection of any engine design point
Rivalry and uncertainty in complementary investments with dynamic market sharing
We study the effects of revenue and investment cost uncertainty, as well non- preemption duopoly competition, on the timing of investments in two complementary inputs, where either spillover-knowledge is allowed or proprietary-knowledge holds. We find that the ex-ante and ex-post revenue market shares play a very important role in firms’ behavior. When competition is considered, the leader’s behavior departs from that of the monopolist firm of Smith (Ind Corp Change 14:639–650, 2005). The leader is justified in following the conventional wisdom (i.e., synchronous investments are more likely), whereas, the follower’s behavior departs from that of the conventional wisdom (i.e., asynchronous investments are more likely)
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