Consider a model of a financial market with a stock driven by a Lévy process and constant interest rate. A closed formula for prices of perpetual American call options in terms of the overall supremum of the Lévy process, and a corresponding closed formula for perpetual American put options...

En este trabajo se revisa la aplicabilidad de modelos de delimitación empírica de Áreas Metropolitanas basados en la difusión con la distancia de la concentración espacial de características socioeconómicas típicamente metropolitanas. En aras de un mayor realismo, se incorpora un factor...

This paper represents a model for the financial valuation of a firm which has control on the dividend payment stream and its risk, as well as potential profit by choosing different business activities among those available to it. Furthermore the company invests its free reserve in an asset,...

We consider a production stage that produces a single item in a make-to-stock manner. Demand for finished goods is stationary. In each time period, an updated vector of demand forecasts over the forecast horizon becomes available for use in production decisions. We model the sequence of forecast...

Continuous-time monopolistic models of advertising expenditure that rely on strict response concavity have been shown to prescribe eventual spending at a constant rate. However, analyses of discrete analogs have suggested that S-shaped response (convexity for low expenditure levels) may allow...

Recently, it has been shown that the zero-energy eigenstate – corresponding to the stationary state – of a stochastic Hamiltonian with nearest-neighbour interaction in the bulk and single-site boundary terms, can generically be written in the form of a so-called matrix-product state. We...

In this article we study different time-series processes that may describe EMS exchange rate patterns. We conclude that conditional heteroskedasticity and discontinuous time paths are prominent features of EMS exchange rates. A combined jump- diffusion-ARCH model can capture these features...