Journal: Management Science

Found 3158 papers in total
Option pricing: valuation models and applications
Option pricing: valuation models and applications
2004,
This paper surveys the literature on option pricing from its origins to the present....
Modeling the impact of merging capacity in production–inventory systems
Modeling the impact of merging capacity in production–inventory systems
2004,
We model two separate, decentralized systems, each consisting of a warehouse and a...
Option pricing under a double exponential jump diffusion model
Option pricing under a double exponential jump diffusion model
2004,
Analytical tractability is one of the challenges faced by many alternative models that...
Inventory management with asset-based financing
Inventory management with asset-based financing
2004,
Most of the traditional models in production and inventory control ignore the...
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
2004,
In a recent paper, Longstaff and Schwartz suggest a method for American option...
Demand allocation in multiple-product, multiple-facility, make-to-stock systems
Demand allocation in multiple-product, multiple-facility, make-to-stock systems
2004,
We consider the problem of allocating demand arising from multiple products to...
Which GARCH model for option valuation?
Which GARCH model for option valuation?
2004,
Characterizing asset return dynamics using volatility models is an important part of...
Dynamic version of the economic lot size model (Harvey M. Wagner, Thomson M. Whitin) with comments
Dynamic version of the economic lot size model (Harvey M. Wagner, Thomson M. Whitin) with comments
2004,
This paper is taken from a special supplement to the journal Management Science at the...
Primal–dual simulation algorithm for pricing multidimensional American options
Primal–dual simulation algorithm for pricing multidimensional American options
2004,
This paper describes a practical algorithm based on Monte Carlo simulation for the...
Optimal policies for a multi-echelon inventory problem (Andrew J. Clark, Herbert Scarf) with comments
Optimal policies for a multi-echelon inventory problem (Andrew J. Clark, Herbert Scarf) with comments
2004,
This paper is taken from a special supplement to the journal Management Science at the...
Pricing path-dependent securities by the extended tree method
Pricing path-dependent securities by the extended tree method
2004,
This paper presents a discrete-time method (ET method) for pricing path-dependent...
On the benefits of pooling in production–inventory systems
On the benefits of pooling in production–inventory systems
2005,
We study inventory pooling in systems with symmetric costs where supply lead times are...
Dividends and debt with managerial agency and lender holdup
Dividends and debt with managerial agency and lender holdup
2004,
A well-known view in the literature is that if management is more concerned with the...
What actually happened to the inventories of American companies between 1981 and 2000?
What actually happened to the inventories of American companies between 1981 and 2000?
2005,
This paper examines the inventories of publicly traded American manufacturing...
A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model
A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model
2004,
In this paper, we analyze the portfolio selection implications arising from imposing a...
Incentives for efficient inventory management: the role of historical cost
Incentives for efficient inventory management: the role of historical cost
2005,
This paper examines inventory management from an incentive perspective. We show that...
Portfolio investment with the exact tax basis via nonlinear programming
Portfolio investment with the exact tax basis via nonlinear programming
2005,
Computing the optimal portfolio policy of an investor facing capital gains tax is a...
Productivity change, technical progress, and relative efficiency change in the public accounting industry
Productivity change, technical progress, and relative efficiency change in the public accounting industry
2005,
We present evidence on components of productivity change in the public accounting...
Conservative accounting choices
Conservative accounting choices
2005,
Managers have sufficient discretion under generally accepted accounting principles to...
Measuring customer relationships: The case of the retail banking industry
Measuring customer relationships: The case of the retail banking industry
2005,
Arguing that GAAP is ill suited for estimating the future profitability of...
Managing inventory and supply performance in assembly systems with random supply capacity and demand
Managing inventory and supply performance in assembly systems with random supply capacity and demand
2004,
We consider stock positioning in a pure assembly system controlled using installation...
Converting technology to mitigate environmental damage
Converting technology to mitigate environmental damage
2004,
There are many situations where policy makers would like to induce firms to make a...
Work groups, structural diversity, and knowledge sharing in a global organization
Work groups, structural diversity, and knowledge sharing in a global organization
2004,
Effective work groups engage in external knowledge sharing – the exchange of...
Knowledge sourcing effectiveness
Knowledge sourcing effectiveness
2004,
Much of the knowledge management (KM) literature focuses on ways to increase the...
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