the terminal cash flow is related to the aggregate claims incurred during a calendar quarter, the valuation problem is of the same type as the one that arises in the pricing of zero-exercise price Asian options. We propose a solution to this problem using the exact approach developed by Geman and Yor (1992

This short paper introduces the concept of Asian options in the capacity choice literature. We develop a simple model for optimal capacity setting under average demand uncertainty for a single firm. When the firm faces moderate or significant stochastic demands in its current product line

the problems and opportunities facing the financial services industry in its search for competitive excellence. The Center's research focuses on the issues related to managing risk at the firm level as well as ways to improve productivity and performance. The Center fosters the development of a community of faculty, visiting scholars and Ph.D. candidates whose research interests complement and support the mission of the Center. The Center works closely with industry executives and practitioners to ensure that its research is informed by the operating realities and competitive demands facing industry participants as they pursue competitive excellence. Copies of the working papers summarized here are available from the Center. If you would like to learn more about the Center or become a member of our research community, please let us know of your interest.

This paper presents a simple discrete-time model for valumg optlons. The fundamental econonuc principles of option pricing by arbitrage methods are particularly clear In this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated

This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily

In their classic paper on the theory of option pricing, Black and Scholcs (1973) prcscnt a mode of an:llysis that has rcvolutionizcd the theory of corporate liability pricing. In part, their approach was a breakthrough because it leads to pricing formulas using. for the most part, only obscrvablc variables

learned from relational databases by iteratively optimizing a pseudo-likelihood measure. Optionally, additional clauses are learned using inductive logic programming techniques. Experiments with a real-world database and knowledge base in a university domain illustrate the promise of this approach.

in complexity in information systems. The inherent limitations of the then-available 4K machines, for example, constrained design and necessitated suboptimal approaches for automating a business. Current technology is rapidly removing both conceptual and financial constraints. It is not hard to speculate about

The contingent-claims approach implies that the debt claim has features similar to a short position in a put option. Since option values increase with volatility, it follows that this model predicts credit spreads should increase with volatility. This prediction is intuitive: increased volatility increases

to seamlessly negotiate a change in endpoint IP addresses without the need for a third party. Our architecture is secure---name updates are effected via the secure DNS update protocol, while TCP connection migration uses a novel set of Migrate options---and provides a pure end-system alternative to routing