Time consistent pricing of options with embedded decisions

Pricing Equity-Indexed Annuities Embedded with Exotic Options

The Pricing of Embedded Options in Real Estate Lease Contracts

Leases and rental agreements often have options attached or embedded in them. These options sometimes depend on a number of economic variables such as the Consumer Price Index (CPI), a real estate index and/or the value of real estate underlying the agreement. The evaluation of these options often involves the solution or approximation to a partial differential equation (PDE). This study analyz...

Consistent Design of Embedded Real - time Systems

Coordination of Pricing, Ordering, and Lead time Decisions in a Manufacturing Supply Chain

In this paper, an incentive policy is proposed to coordinate ordering, lead time, and pricing strategies in a two-echelon manufacturing supply chain (SC) consisting of one manufacturer and one retailer. The system is faced with a stochastic demand which depends on both price and lead time. The manufacturer decides on production size and manufacturing acceleration rate while the retailer determi...

Consistent Design of Embedded Real-Time Systems with UML-RT

Modeling embedded real-time systems consisting of different components with UML-RT leads to a design model using various diagrams. Sequence diagrams describe possible interactions between system components and may be annotated with specific real-time constraints. Statechart diagrams are used for describing each component’s behavior. In order to be able to get a consistent model, a consistency c...