We develop a new approach for pricing both continuous-time and discrete-time American options which is based on the fact that any American option is equivalent to a European one with a consumption process involved. This approach admits the construction of an upper bound (a lower bound) on the...

Purpose – This paper seeks to describe a conceptualisation of the multiple facets of the bullwhip effect between stocking levels within and between value chains and value systems. Design/methodology/approach – The paper provides a conceptual discussion of the bullwhip effect. It is refined...

Purpose – To propose a categorization of the different conflation procedures at the two basic approaches, non‐linguistic and linguistic techniques, and to justify the application of normalization methods within the framework of linguistic techniques. Design/methodology/approach – Presents...

Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because default probabilities are low for highly rated...

We consider a modified version of the de Finetti model in insurance risk theory in which, when surpluses become negative the company has the possibility of borrowing, and thus continue its operation. For this model we examine the problem of estimating the “time-in-the red” over a finite...

We consider a modified version of the de Finetti model in insurance risk theory in which, when surpluses become negative the company has the possibility of borrowing, and thus continue its operation. For this model we examine the problem of estimating the “time-in-the red” over a finite...