We study the effects of disruption risk in a supply chain where one retailer deals with competing
risky suppliers who may default during their production lead times. The suppliers, who …

Pricing and hedging barrier options using a binomial lattice can be quite delicate. If the barrier
is not constant, or if there are multiple barriers, then in all likelihood binomial lattices will …

We examine whether mandating banks to issue subordinated debt would enhance market
monitoring and control risk taking. To evaluate whether subordinated debt enhances risk …

Option pricing is a common and important practice in the financial community, and has become
a fundamental theoretical construct in financial economics. The theory is quite rich and …

The purpose of this article is to compare the Perrakis and Ryan bounds of option prices in a
single‐period model with option bounds derived using linear programming. It is shown that …

This article generalizes the single‐period linear‐programming bounds on option prices by
allowing for a finite number of revision opportunities. It is shown that, in an incomplete market, …

This paper considers the pricing of options when there are jumps in the pricing kernel and
correlated jumps in asset returns and volatilities. Our model nests Duan's GARCH option …

Predictions of firm-level credit spreads based on the current spot and forward credit spreads
can be significantly improved upon by using the information contained in the shape of the …

The purpose of this paper is to construct a theoretical framework which allows a manufacturer
to examine the tradeoffs between pricing, reliability, design and quality control issues. In …

This paper provides a framework in which warranty policies for non‐repairable items can be
evaluated according to risk preferences of both buyers and sellers. In particular, a warranty …