American-Asian options are average-price options that allow early exercise. In this paper, we derive structural properties for the optimal exercise policy, which are then used to develop an efficient numerical algorithm for pricing such options. In particular, we show that the optimal policy is a threshold policy: The option should be exercised as soon as the average asset price reaches a chara...

We consider a production-inventory system facing stochastic product returns that can either be disposed upon arrival or placed in a serviceable inventory, where serviceable products can be disposed at any time. In an M/M/1 make-tostock queue setting, we establish that the optimal control policy is a threshold policy with three policy parameters and we derive closed-form results for the optimal ...

This paper solves the dynamic investment problem of a risk averse manager compensated with a call option on the assets he controls. Under the manager’s optimal policy, the option ends up either deep in or deep out of the money. As the asset value goes to zero, volatility goes to infinity. However, the option compensation does not strictly lead to greater risk seeking. Sometimes, the manager’s o...

This paper investigates the potential contribution of forestry management in meeting a CO2 stabilization policy of 550 ppmv by 2100. In order to assess the optimal response of the carbon market to forest sequestration we couple two global models. An energy-economy-climate model for the study of climate policies is linked with a detailed forestry model through an iterative procedure to provide t...

This paper outlines a feasible employee premium contribution policy, which would reduce the inefficiency associated with adverse selection when a limited coverage insurance policy is offered alongside a more generous policy. The "efficient premium contribution" is defined and is shown to lead to an efficient allocation across plans of persons who differ by risk, but it may also redistribute aga...

Reset clauses on the strike price and maturity date are commonly found in derivative contracts, like insurance segregated funds, bonds and executive warrants. We analyze the optimal reset policy adopted by the holder of an option that possesses the reset rights on the strike price and date of maturity. The optimal reset policy relates closely to the temporal rate of change of the value of the n...

This paper adopts a real options approach to investigate the effects of economic policy uncertainty (EPU) and monetary on R&D investment. Using panel U.S. firms over period 2000–2019, we show that higher (lower) EPU contractionary (expansionary) exert positive (negative) significant influence Our findings shed light counter-intuitive behavior investments, which may help policymakers anticipate ...

STUDY OBJECTIVE The aim was to carry out an economic evaluation of the programme implemented in one district health authority for the screening of infants for hearing loss. DESIGN The approach taken was a cost-effectiveness analysis using the methodology of decision analysis to model the options appraised: (1) the conventional screening policy was for a health visitor and colleague to screen ...

The Japanese Ministry of Health and Welfare has implemented a policy of paying physicians to explain the nature of the patient's medical condition and the treatment plan. We describe the precepts of this policy and examine ethical dimensions of this development. We question whether this policy will be sufficient to ensure patients will have the opportunity to become informed participants in med...

This paper primarily focuses on finding a policy for maintaining a road segment. The paper presents two methods for finding such a policy. The first one is using a probabilistic Markov Decision Process in order to determine the optimal maintenance policy. The second method is used by the Road and Hydraulic Engineering Division (DWW). That policy however is not optimal but does not require an MD...