Publications

Research

Working papers, publications, and ongoing projects.

March 2026 Real Options

Development of a Bayesian Real Options Framework: And Its Application to Capital Budgeting Problems

A Bayesian Real Options framework for capital budgeting decisions defined by irreversibility, uncertainty, and the opportunity to gather information before committing.

April 2025 Bayesian Methods

Bayesian Learning and Real Options: Valuing Strategic Investments

A Bayesian Learning Real Options model integrating Bayesian decision-making with real options pricing, applied to valuing a parts manufacturing license in aerospace.

April 2025 Applications

Real Options Valuation in the Aerospace MRO Industry

Real options analysis applied to investment decisions within aerospace Maintenance, Repair, and Overhaul, treating equipment upgrades as sequential choices under demand uncertainty.

April 2025 Real Options

Real Options Analysis: A New Standard for Decision-Making Under Uncertainty

A survey examining real options analysis and its advantages over conventional DCF approaches, with attention to managerial adaptability and future research directions.

April 2025 Option Pricing

Using Risk-Adjusted Interest Rates in Option Pricing

An innovative approach to option valuation incorporating project-specific risk adjustments via CAPM, linking market returns and risk premiums into a consistent pricing formula.

April 2025 Real Options

Bridging Decision Analysis and Real Options for Practical Valuation

A decision analysis approach to real options valuation that critiques perfect-market assumptions and proposes simpler stochastic models accessible to practitioners.

April 2025 Real Options

An Intuitive Model for Valuing Deferral Options

An opportunity cost model for valuing deferral options offering a simpler, transparent alternative to the binomial lattice method, decomposed into four intuitive value components.

April 2025 Option Pricing

Jump Diffusion Models and Commodity Futures Pricing

A multi-factor jump-diffusion model under a martingale framework showing that price jumps affect commodity futures, not just options, with implications for risk management.

April 2025 Option Pricing

Understanding the Mathematics Behind Option Pricing

A step-by-step breakdown of the Black-Scholes model covering the stochastic calculus and arbitrage-free pricing that underpin financial options theory.

April 2025 Real Options

Minimizing Hedging Error in Real Options Pricing

A method for minimizing hedging errors in real options pricing using a surrogate tradable asset to hedge non-traded project risk, with dynamic hedge adjustment based on correlation.

April 2025 Applications

Applying Real Options to Safety and Ergonomics Investments

Real options pricing applied to safety and ergonomics investments using a material handling case study, quantifying the value of timing flexibility alongside injury cost savings.

April 2025 Real Options

Choosing Between Replacement Strategies with Real Options

Comparing parallel versus selection replacement strategies using real options theory, showing that parallel strategies outperform under high uncertainty and low upfront costs.

April 2025 Real Options

Simplifying Real Options Valuation with Decision Analysis

A decision analysis framework that simplifies real options valuation, with new formulas adjusting for different market behaviors and non-liquid real asset trading challenges.

April 2025 Applications

Strategic Pricing in the Service Sector: A Real Options Perspective

Real options theory applied to pricing strategy in service industries, demonstrating how treating pricing choices as options captures value from market uncertainty and disruption.

April 2025 Real Options

Strategic Replacement Decisions: Parallel vs. Selection Strategies

A binomial lattice analysis of parallel versus selection investment strategies, showing parallel investment dominates when uncertainty is high and initial costs are low.

April 2025 Applications

Cost-Justifying Distributed Generation for Campus Reliability

A cost analysis framework for distributed generation investment decisions using two campus case studies, showing how peak load reduction and emergency backup justify DG systems.

April 2025 Applications

Optimizing Service Sector Revenue through Real Options

A research framework for revenue optimization in the service sector using real options techniques to improve pricing decisions under deregulation and technological uncertainty.

April 2025 Financial Engineering

Using Neural Networks to Improve Financial Option Pricing

A backpropagation neural network trained on Black-Scholes values achieves improved pricing accuracy for in- and out-of-the-money options by capturing real-world market imperfections.

April 2025 Applications

Evaluating IT Infrastructure Investments with Real Options: A Korean Case Study

Real options theory applied to Korea's IT infrastructure investments, comparing NPV with compound and growth option models to reveal hidden strategic value in technology projects.

April 2025 Applications

Optimizing Tennis Tournament Umpire Scheduling with Operations Research

An automated umpire crew scheduling system using integer programming and simulated annealing that reduced scheduling time 75% while improving assignment quality at major tennis events.