Previous researchers have modelled the decision to accept a donor organ for transplantation as a Markov decision problem, the solution to which is often a control-limit optimal policy: accept any organ whose match quality exceeds some health-dependent threshold; otherwise, wait for another. When...

We experimentally explore individual and competitive search, and we test whether generally accepted principles of bounded rationality adequately explain observed search behavior. Subjects can, at a cost, employ screening and selection methods not only facilitating search but also directly...

This paper considers the problem of the optimal timing of the exchange of the sum of n geometric Brownian motions for the sum of m others. We propose a closed form determinable stopping time based on the heuristic principle of smooth fit. We cannot prove that this stopping time is optimal....

This paper considers the general problem of optimal timing of the exchange of the sum of n Ito-diffusions for the sum of m others (e.g., the optimal time to exchange a geometric Brownian motion for a geometric mean reverting process). We first contribute to the literature by providing analytical...

This paper investigates the impact of uncertainty on an irreversible investment decisions in the laboratory. Subjects own the option to seize a claim on the future sum of realizations from an (ambiguous) random walk. I contrast model predicitions of the Subjective Expected Utility model (SEU,...

In this paper we consider an equity-indexed annuity (EIA) investor who wants to determine when he should surrender the EIA in order to maximize his logarithmic utility of the wealth at surrender time. We model the dynamics of the index using a geometric Brownian motion with regime switching. To...

We develop a dynamic model in which a firm exercises an option to expand production with cash balance and costly external funds. While related papers explain their results only by numerical examples, we analytically prove the following results. In the presence of only a proportional cost of...

This paper analyzes a structural model of corporate debt in the spirit of Leland (1994) model within a more realistic general context where payouts and asymmetric tax-code provisions are introduced. We analytically derive the value of the tax benefit claim in this context and study the joint...