The purpose of this paper is to build a modeling and pricing framework to investigate the sustainability of the Home Equity Conversion Mortgage (HECM) program in the United States under realistic economic scenarios, i.e., whether the premium payments cover the fair premiums for the inherent...

In this paper, we employ the theory of real option pricing to address problems in the area of operational risk management. Particularly, we develop a two-stage model to help firms determine the optimal suspension-reactivation triggers in the events of pandemics. In the first stage, we propose a...

Bug bounty program is a business activity in which firms invite white-hat hackers around the world to identify vulnerabilities in their cyber systems. The paper proposes a model to quantify the normal cybersecurity spending with respect to the importance of information systems. An upper limit of...

The importance of crypto-asset valuation is increasing as the ecosystem of blockchain continues to boom in recent years. We develop a deep learning framework to predict the value index of crypto assets by integrating the value variables’ information and decomposing the price into value and...

We present an integrated contingent claims model for valuing startup companies. We introduce an extra growth rate in the risk-neutral geometric Brownian motion process, with temporary disequilibrium balanced by the actuarial probability of project failure. We derive pricing formula for...