We study an optimal consumption, investment, life insurance, and retirement decision of an economic agent who has an option to retire early any time before the mandatory retirement date. We conduct a thorough theoretical analysis for the optimal retirement problem with general utility function...

In this paper, we investigate the impact of the option to retire and subsequently reverse that decision on an individual's consumption and portfolio decisions. The two job status states considered are the working state, which generates positive labor income, and the retirement state with zero...

In this study, we investigate an optimal consumption and investment problem of an economic agent who faces a welfare constraint; the agent does not accept her expected utility (continuation value) falls below a certain fixed level regardless of the time and state. This optimization problem...

To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges switched the option model from Black-Scholes to Bachelier in April 2020. This study reviews the literature on Bachelier's pioneering option pricing model and summarizes the practical...