Risk vs. profit potential: A model for corporate strategy

Journal of Economic Dynamics and Control

Volumn 20, Issue 8, 1996, Pages 1373-1393

  Radner, Roy ^a   Shepp, Larry ^a  

^a LUCENT TECHNOLOGIES   (United States)

Author keywords

Corporate policy; Economics modelling; Wiener processes

Indexed keywords

EID: 0030215278     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1889(95)00904-3     Document Type: Article

References (12)

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3. Black, F. and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-659.
4. Dubins, L.B., L.A. Shepp, and A. N. Shiryaev, 1993, Optimal stopping rules and maximal inequalities for Bessel processes, Teoriya Veroyatnostey i Primenenü 38, 288-330, in Russian.
5. Dutta, P.K. and R. Radner, 1994, Optimal principal-agent contracts for a class of incentive schemes, Economic Theory, forthcoming.
6. Dutta, P.K. and R. Radner, 1994, Profit maximization and the market selection hypothesis, Unpublished paper (AT&T Bell Laboratories, Murray Hill, NJ).
7. Gigelions, B.I. and A.N. Shiryaev, 1966, On Stefan's problem and optimal stopping rules for Markov processes, Teoriya Veroyatnostey i Primenenü 11, 611-631, in Russian.
8. Harrison, J.M., 1985, Brownian motion and stochastic flow systems (Wiley, New York, NY).
9. Samuelson, P.A., 1965, Rational theory of warrant pricing, Industrial Management Review 6, 13-39.
10. Shepp, L.A. and A.N. Shiryaev, 1993a, The Russian option: Reduced regret, Annals of Applied Probability 3, 631-640.
11. Shepp, L.A. and A.N. Shiryaev, 1993b, A dual Russian option for selling short, Proceedings of the Kolmogorov Seminar, forthcoming.
12. Shepp, L.A. and A.N. Shiryaev, 1994, A new look at the pricing of Russian options, Teoriya Veroyatnostey i Primenenü 39, 130-149, in Russian.