Research publications and working papers by Luke Miller, Associate Professor of Finance at Saint Anselm College.https://lukemillerphd.com/en-ushttps://lukemillerphd.com/research/bayesian-real-options-framework/https://lukemillerphd.com/research/bayesian-real-options-framework/A Bayesian Real Options framework for capital budgeting decisions defined by irreversibility, uncertainty, and the opportunity to gather information before committing.Tue, 31 Mar 2026 00:00:00 GMTReal OptionsBayesian inferencereal optionscapital budgetinginformation acquisitioninvestment under uncertaintyhttps://lukemillerphd.com/research/bayesian-learning-real-options-strategic-investments/https://lukemillerphd.com/research/bayesian-learning-real-options-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.Tue, 29 Apr 2025 00:00:00 GMTBayesian MethodsBayesian learningreal optionsstrategic investmentaerospacelicense valuationhttps://lukemillerphd.com/research/real-options-aerospace-mro/https://lukemillerphd.com/research/real-options-aerospace-mro/Real options analysis applied to investment decisions within aerospace Maintenance, Repair, and Overhaul, treating equipment upgrades as sequential choices under demand uncertainty.Mon, 28 Apr 2025 00:00:00 GMTApplicationsaerospaceMROmaintenance repair overhaulreal optionsstaged investmentcapital allocationhttps://lukemillerphd.com/research/real-options-analysis-new-standard/https://lukemillerphd.com/research/real-options-analysis-new-standard/A survey examining real options analysis and its advantages over conventional DCF approaches, with attention to managerial adaptability and future research directions.Mon, 28 Apr 2025 00:00:00 GMTReal Optionsreal optionsdiscounted cash flowmanagerial flexibilityinvestment analysissurveyhttps://lukemillerphd.com/research/risk-adjusted-interest-rates-option-pricing/https://lukemillerphd.com/research/risk-adjusted-interest-rates-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.Mon, 28 Apr 2025 00:00:00 GMTOption PricingCAPMrisk-adjusted ratesoption pricingrisk-neutral probabilitiesreal optionshttps://lukemillerphd.com/research/bridging-decision-analysis-real-options/https://lukemillerphd.com/research/bridging-decision-analysis-real-options/A decision analysis approach to real options valuation that critiques perfect-market assumptions and proposes simpler stochastic models accessible to practitioners.Sun, 27 Apr 2025 00:00:00 GMTReal Optionsdecision analysisreal optionsrisk-neutral pricingpractitioner methodsopportunity losshttps://lukemillerphd.com/research/intuitive-model-deferral-options/https://lukemillerphd.com/research/intuitive-model-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.Sun, 27 Apr 2025 00:00:00 GMTReal Optionsdeferral optionsopportunity costbinomial latticereal optionsinvestment timinghttps://lukemillerphd.com/research/jump-diffusion-commodity-futures/https://lukemillerphd.com/research/jump-diffusion-commodity-futures/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.Sun, 27 Apr 2025 00:00:00 GMTOption Pricingjump diffusioncommodity futuresmartingale frameworkjump riskderivatives pricinghttps://lukemillerphd.com/research/mathematics-option-pricing/https://lukemillerphd.com/research/mathematics-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.Sun, 27 Apr 2025 00:00:00 GMTOption PricingBlack-Scholesstochastic calculusarbitrage-free pricingfinancial mathematicsderivativeshttps://lukemillerphd.com/research/minimizing-hedging-error-real-options/https://lukemillerphd.com/research/minimizing-hedging-error-real-options/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.Sun, 27 Apr 2025 00:00:00 GMTReal Optionshedgingreal optionssurrogate assetBlack-Scholesvariance minimizationrisk managementhttps://lukemillerphd.com/research/real-options-safety-ergonomics/https://lukemillerphd.com/research/real-options-safety-ergonomics/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.Sun, 27 Apr 2025 00:00:00 GMTApplicationssafetyergonomicsreal optionsmaterial handlingworkplace investmentdeferral optionshttps://lukemillerphd.com/research/replacement-strategies-real-options/https://lukemillerphd.com/research/replacement-strategies-real-options/Comparing parallel versus selection replacement strategies using real options theory, showing that parallel strategies outperform under high uncertainty and low upfront costs.Sun, 27 Apr 2025 00:00:00 GMTReal Optionsreplacement strategiesparallel investmentselection strategyreal optionsuncertaintycapital allocationhttps://lukemillerphd.com/research/simplifying-real-options-decision-analysis/https://lukemillerphd.com/research/simplifying-real-options-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.Sun, 27 Apr 2025 00:00:00 GMTReal Optionsdecision analysisreal optionsrisk-neutral pricingnon-liquid assetspractitioner methodshttps://lukemillerphd.com/research/strategic-pricing-service-sector/https://lukemillerphd.com/research/strategic-pricing-service-sector/Real options theory applied to pricing strategy in service industries, demonstrating how treating pricing choices as options captures value from market uncertainty and disruption.Sun, 27 Apr 2025 00:00:00 GMTApplicationspricing strategyservice sectorreal optionsrevenue managementderegulationflexibilityhttps://lukemillerphd.com/research/strategic-replacement-parallel-selection/https://lukemillerphd.com/research/strategic-replacement-parallel-selection/A binomial lattice analysis of parallel versus selection investment strategies, showing parallel investment dominates when uncertainty is high and initial costs are low.Sun, 27 Apr 2025 00:00:00 GMTReal Optionstechnology investmentparallel strategyselection strategybinomial latticeuncertaintyreal optionshttps://lukemillerphd.com/research/cost-justifying-distributed-generation/https://lukemillerphd.com/research/cost-justifying-distributed-generation/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.Sat, 26 Apr 2025 00:00:00 GMTApplicationsdistributed generationcampus reliabilityenergy investmentpeak loadcost analysisbackup powerhttps://lukemillerphd.com/research/optimizing-service-sector-revenue/https://lukemillerphd.com/research/optimizing-service-sector-revenue/A research framework for revenue optimization in the service sector using real options techniques to improve pricing decisions under deregulation and technological uncertainty.Sat, 26 Apr 2025 00:00:00 GMTApplicationsrevenue optimizationservice sectorreal optionspricingderegulationairlineshotelshttps://lukemillerphd.com/research/neural-networks-option-pricing/https://lukemillerphd.com/research/neural-networks-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.Fri, 25 Apr 2025 00:00:00 GMTFinancial Engineeringneural networksBlack-Scholesoption pricingmachine learningbackpropagationfinancial engineeringhttps://lukemillerphd.com/research/real-options-it-infrastructure-korea/https://lukemillerphd.com/research/real-options-it-infrastructure-korea/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.Thu, 24 Apr 2025 00:00:00 GMTApplicationsIT investmentinfrastructurereal optionsNPVcompound optionsgrowth optionsKoreahttps://lukemillerphd.com/research/tennis-umpire-scheduling-operations-research/https://lukemillerphd.com/research/tennis-umpire-scheduling-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.Thu, 24 Apr 2025 00:00:00 GMTApplicationsoperations researchinteger programmingsimulated annealingschedulingoptimizationsports management