We propose a novel generalized recursive smooth ambiguity model which permits a three‐way
separation among risk aversion, ambiguity aversion, and intertemporal substitution. We …

A model of dynamic capital structure is proposed. Even though the optimal strategy is implemented
over an arbitrarily large number of restructuring‐periods, a scaling feature inherent in …

… Nengjiu Ju Smith School of Business University of Maryland College Park, MD 20742 Tel: (…
Yu [1996], Carr [1998] and Ju [1998]. These methods are essentially analytic approximations …

This article proposes to price an American option by approximating its early exercise boundary
as a multipiece exponential function. Closed form formulas are obtained in terms of the …

This paper examines optimal capital structure choice using a dynamic capital structure
model that is calibrated to reflect actual firm characteristics. The model uses contingent claim …

Asian options belong to the so-called path-dependent derivatives. They are among the most
difficult to price and hedge, both analytically and numerically. Basket options are even …

The treatment of this article renders closed-form density approximation feasible for univariate
continuous-time models. Implementation methodology depends directly on the parametric-…

We study an investor's optimal consumption and portfolio choice problem when he is confronted
with two possibly misspecified submodels of stock returns: one with IID returns and the …

This article develops a model in which optimal capital structure and debt maturity are jointly
determined in a stochastic interest rate environment. The model yields leverage ratios that …

While stock options are commonly used in managerial compensation to provide desirable
incentives, their adverse effects have not been widely appreciated. We show that a call-type …