In this paper, we introduce a valuation model of callable warrants under a setting of the optimal stopping problem between the holder (investor) and the issuer (firm). A warrant is the right to purchase new shares at a predetermined price. When the new stocks are issued, the value of the stock...

In this paper, we examine the optimal investment policy of the firm which is financed by issuing equity, straight debt and convertible debt. We extend the model in Mauer and Sarkar (2005) over financing with convertible debt. We examine two different investment policies that maximize the equity...

Many companies issue some complex structured bonds. A reverse convertible bond is one of such structured bonds. In this paper we consider a valuation model of callable-puttable reverse convertible bonds which have the complex payoff in a setting of the optimal stopping problem between the issuer...

We study the investment timing problem where two firms that compete for investment preemption know in advance the time at which the economic condition changes. We show that the so-called Bad News Principle applies to the leader firm’s investment decision near maturity in many cases. This...

We study the interaction between a private firm and a government when they time an investment decision while in a public-private partnership. We use a real options framework and consider the degree of sharing in the cost of the investment and the risk in the operation of the project. The degree...

We develop a model to examine the timing of investment decisions in relation to the issuance of convertible debt by firms. Our model shows that when the demand shock has higher volatility, the firm finances the investment cost with high-coupon convertible debt. We find that default occurs...

In this paper, we examine the optimal investment policy of the firm which is financed by issuing equity, straight debt and convertible debt with the senior-sub structure. The senior-sub structure gives preference to straight debt over convertible debt and to convertible debt over equity when the...

In this paper we consider a dynamic pricing model for a firm knowing that a competitor adopts a static pricing strategy. We establish a continuous time model to analyze the effect of dynamic pricing on the improvement in expected revenue in the duopoly. We assume that customers arrive to...

In this paper, we consider an inventory model in which a firm uses the spot market for procurement in order to accomplish the minimization of total discounted costs. The model can be formulated as impulse control problem where the demand and spot price follow diffusion stochastic processes. We...

In this paper, we derive closed form solution for Russian option with jumps. First, we discuss the pricing of Russian options when the stock pays dividends continuously. Secondly, we derive the value function of Russian options by solving the ordinary differential equation with some conditions...