This paper deals with the optimal issuing sequence of units, say batteries, from storage to the field when field lives are stochastic. Several appealing forms of the field life survival probability F\bar (y|x) are given when the battery has been on the shelf a length of time x. These forms are...

A problem is considered where jobs arrive at random times and assume random values, or importance. These must be assigned to a fixed set of men whose qualities are different but known. As each job arrives, its value is observed and the decision-maker must decide which man, if any, to assign to...

The problem of choosing the one best or several best of a set of sequentially observed random variables has been treated by many authors. For example, the seller of a house has this problem when deciding which bids on the house to accept and which to reject. We assume that the bids are...

A "pennant race" occurs in a sports league if the top two teams in a league finish within m\bar games of each other. We develop an analytical model that can be used to predict the probability that a sports league will have a pennant race. The model is then tested on data from the last 50 major...

We consider a two server congestion system which is heterogeneous in the sense that the reward received depends on the match between server and customer. In particular, if a type s customer (s = 1, 2, 3, ...) is assigned to server i (i = 1, 2) a reward R_st is earned. Service time is assumed to...

This paper considers the intertemporal pricing problem for a monopolist marketing a new product. The key feature differentiating this paper from the extant management science literature on intertemporal pricing is the assumption that consumers are intertemporal utility maximizers. A subgame...

This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American (i.e., continuously exercisable) and Bermudan (i.e., discretely exercisable) options. The method generates both lower and upper bounds for the Bermudan option price and hence...

This paper surveys the literature on option pricing from its origins to the present. An extensive review of valuation methods for European- and American-style claims is provided. Applications to complex securities and numerical methods are surveyed. Emphasis is placed on recent trends and...

Simulation has proved to be a valuable tool for estimating security prices for which simple closed form solutions do not exist. In this paper we present two direct methods, a pathwise method and a likelihood ratio method, for estimating derivatives of security prices using simulation. With the...

In many of the numerical methods for pricing American options based on the dynamic programming approach, the most computationally intensive part can be formulated as the summation of Gaussians. Though this operation usually requiresO(NN') work when there areN' summations to compute and the...