“Input-price Risk Management: Technology Improvement and Financial Hedging”, Accept by Production and Operations Management (POM)

We study the merits and limitations of technology improvement (TI) initiatives for managing input-price risk. Such initiatives (e.g., energy efficiency projects) typically reduce the consumption of an input commodity and so result in lower production costs, more sustainable operations, and/or an improved competitive position. This paper explores whether TI can ...

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“Valuation of Mortgage Interest Deductibility under Uncertainty: An Option Pricing Approach”, Accepted by the Journal of Economic Dynamics and Control

Abstract: we propose a dynamic option pricing model to quantify the tax shield value of US mortgage interest deduction (MID) under uncertainty. We identify non-linear forms, both convex and concave regions, in the pay-off of MID, and discuss the implications for the valuation of MID. The model provides insights regarding ...

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New Publication: Volatility Can be Detrimental to Option Values!

Economics Letters, joint work with Arash Fahim Abstract: The value of digital options (both European and American types) can have an inverse-U shape relationship with the volatility of the underlying process! This seemingly counterintuitive proposition is driven by a particular feature of Maringale processes bounded from below (including the Geometric Brownian ...

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