We studied a one-dimensional free boundary problem arising in the polymer industry. Imposing a convective boundary condition, the solution has an interesting asymptotic behavior. It is found that the free boundary is bounded by a constant which does not depend on the conductivity coefficient,...

The current literature on irreversible investment decisions usually makes the assumption of a constant interest rate. We study the impact of interest rate and revenue variability on the decision to carry out an irreversible investment project. Given the generality of the valuation problem...

In this paper, we study the nonemptiness and the shape of the exercise region of American options written on several assets. Our contribution is threefold. First, we state an analytic theorem which characterizes the nonemptiness of the exercise region. Second, we study a particular class of...