This paper focuses on the impact of debt on the optimal policy for investment and hiring, in the light of the theory of real options. We consider a stochastic demand for the product sold by the company. We examine in particular the investment and hiring choices when, in case of enhancement...

We examine the firm's investment and hiring/firing policy under stochastic demand with potential reversibility. We evaluate in particular the values of both investment and hiring/firing growth and shutdown options not only for the standard Cobb–Douglas production function but also when taking...

This paper focuses on the impact of debt on the optimal policy for investment and hiring, in the light of the theory of real options. We consider a stochastic demand for the product sold by the company. We examine in particular the investment

We study the dynamics of the spread between U.S. corporate and Treasury bonds. We focus on Aaa and Baa corporate yield indices and estimate nonparametrically the dynamics of the spreads assuming that they follow a univariate diffusion process. Using techniques developed for interest rate...

We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative variation of the stock price. The stock price follows a marked point process and the market is incomplete. We first characterize the equivalent martingale...

Nous etudions le probleme de l'allocation optimale de protefeuille en presence d'une contrainte de garantie, lorsque l'investisseur n'a pas la possibilite de changer la constitution de son portefeuille entre la data initiale et la date terminale. Nous montrons comment les actifs derives doivent...

We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after fixed relative variations of the stock price. The stock price follows a marked point process and the market is incomplete.

We analyze the joint convergence of sequenes of discounted stock prices and Radon-Nycodym derivatives of the minimal martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or incomplete markets. We illustrate the general...