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The purpose of this paper is to study the optimal sequential information acquisition process of a rational decision maker (DM) when allowed to acquire n pieces of information from a set of bi-dimensional products whose characteristics vary in a continuum set.

The authors incorporate a heuristic mechanism that makes the n-observation scenario faced by a DM tractable. This heuristic allows the DM to assimilate substantial amounts of information and define an acquisition strategy within a coherent analytical framework. Numerical simulations are introduced to illustrate the main results obtained.

The information acquisition behavior modeled in this paper corresponds to that of a perfectly rational DM, i.e. endowed with complete and transitive preferences, whose objective is to choose optimally among the products available subject to a heuristic assimilation constraint. The current paper opens the way for additional research on heuristic information acquisition and choice processes when considered from a satisficing perspective that accounts for cognitive limits in the information processing capacities of DMs.

The proposed information acquisition algorithm does not allow for the use of standard dynamic programming techniques. That is, after each observation is gathered, a rational DM must modify his information acquisition strategy and recalculate his or her expected payoffs in terms of the observations already acquired and the information still to be gathered.

The purpose of this paper is to demonstrate an effective and robust numerical solution for Raman fiber amplifier (RFA) equations which have no explicit solution. MATLAB BVP solvers are addressed for the solution.

The continuation method proposed for the solution of RFA equations using MATLAB BVP solvers is explained. Scripts for improving the power values at the boundaries with continuation, extending fiber length with continuation and calculation of the analytical partial derivatives using the MATLAB Symbolic toolbox are introduced. Comparisons among the different MATLAB BVP solvers have been made. Using the continuation method, signal evolutions for different kinds of RFA amplifier configurations are plotted.

The paper finds that MATLAB BVP solver with the continuation method can be used in the design of various kinds of RFAs for high powers/long gain fiber spans.

The paper will assist the fiber optic research community who suffer from two or more point boundary‐value problems. Moreover, the stiffness of the signal evolution which is faced with high pump powers and/or long fiber lengths can be solved with continuation. This superiority of the solver can be used to overcome any stiff changes of the signals for future studies.

The increased research interests and practical demands for RFAs have been calling for reasonable and efficient means for the performance evaluation of RFAs before the real amplifiers are fabricated. The solution method presented in this paper will be an efficient means for the solution of this issue.

MATLAB BVP solvers have been proven to be effective for the numerical solution of RFAs with multiple pumps and signal waves. Using the continuation method, in a distributed RFA with ten pump sources, 2,400 mW total input pump power is achieved. The improvement of the total power is about 1.4 times compared with those of the previously reported methods. Using the MATLAB BVP solvers, total power/fiber span can be improved further using the continuation process with the cost of computational time. This is a notable and promising improvement from a RFA designer's point of view.

The paper aims to propose a consistent and robust pricing/hedging methodology for callable fixed income structures with embedded caplet‐linked options.

A range of recently published (1997‐2003) works about the Libor Market Model (LMM) tackle the problems of modelling the forward curve with more than two factors and calibrating it to caps either/or to swaps. Other articles involve the pricing of Bermudan options using Monte Carlo simulation. In the form of case study, the very popular structure of multicallable range accrual bonds is used. A complete calibration methodology is described in detail, which links the structure's price to the market caps and swaptions prices as well as to the historical correlations between forward rates. We present the direct implementation of the Monte Carlo technique for this particular problem. Furthermore, we explore the application of the Longstaff–Schwartz least squares algorithm and its variations for the estimation of the expected value of continuation.

This paper suceeds in producing a consistent and robust pricing/hedging methodology for callable fixed income structures with embedded caplet‐linked options.

The increased complexity of similar fixed income structures makes traditional approaches like Black–Derman–Toy or Hull‐White trees inadequate for the task of consistent pricing and hedging. Therefore, care must be taken to ensure consisted hedging across the different volatility markets.

This article explores variations and settings of the popular LMM and the Longstaff‐Scwartz algorithm that can be relatively consistent with both the cap and swaption volatility market. The framework is built using as a benchmark the most liquid fixed income structure so that it can be tested for robustness.

This paper provides a fuller characterization of the analytical upper bounds for American options than has been available to date. We establish properties required of analytical upper bounds without any direct reliance on the exercise boundary. A class of generalized European claims on the same underlying asset is then proposed as upper bounds. This set contains the existing closed form bounds of Margrabe, (1978) and Chen and Yeh (2002) as special cases and allows randomization of the maturity payoff. Owing to the European nature of the bounds, across-strike arbitrage conditions on option prices seem to carry over to the bounds. Among other things, European option spreads may be viewed as ratio positions on the early exercise option. To tighten the upper bound, we propose a quasi-bound that holds as an upper bound for most situations of interest and seems to offer considerable improvement over the currently available closed form bounds. As an approximation, the discounted value of Chen and Yeh's (2002) bound holds some promise. We also discuss implications for parametric and nonparametric empirical option pricing. Sample option quotes for the European (XEO) and the American (OEX) options on the S&P 100 Index appear well behaved with respect to the upper bound properties but the bid–ask spreads are too wide to permit a synthetic short position in the early exercise option.

The purpose of this paper is to review research on lapse in life insurance and to outline potential new areas of research in this field.

The authors consider theoretical lapse rate models as well as empirical research on life insurance lapse and provide a classification of these two streams of research. More than 50 theoretical and empirical papers from this important field of research are reviewed. Challenges for lapse rate modeling, lapse risk mitigation techniques, and possible trends in future lapse behavior are discussed.

Lapse rate modeling has been a very active field of research in the last years, as evidenced by the 44 papers on lapse modeling considered in this review. Moreover, a fair amount of empirical work (another 12 papers) has been done, especially on the issue of how environmental variables affect lapse. Research on individual policyholder and contract information is more scarce, since such information is typically treated as confidential.

The risks arising from lapse are of high economic importance. Lapsation is thus of interest not only to academics, but is highly relevant for the industry, regulators, and policymakers, especially in regard to designing an appropriate regulatory environment. Lapsation also impacts many actuarial tasks, such as product design, pricing, hedging, and risk management. A review of the recent literature might be helpful for these tasks.

To the best of the authors' knowledge, this is the first structured review of the increasingly important literature on life insurance lapsation. Next to the structured review of the existing models and the empirical evidence, the paper also contributes to the literature by discussing challenges for lapse rate modeling and possible trends.

As volunteering research in nonprofit organizations is growing significantly, the purpose of this paper is to examine the effects of volunteering drivers and work engagement on volunteer continuation will.

Building on empirical and theoretical perspectives, the authors hypothesized that work engagement mediates the relationship between volunteering drivers and volunteer continuation will. To verify our hypotheses, we examined data collected from 372 active volunteers from Palestinian nonprofit organizations. The authors conducted structural equations modeling (SEM) analyses using the AMOS 24 platform to investigate direct and indirect effects.

The results of the study show that work engagement is a significant predictor of volunteer continuation will; mediates the relationship between career driver of volunteering and volunteer continuation will; and mediates the relationship between the protective driver of volunteering and volunteer continuation will.

The research design limits establishing cause and effect relationships among the examined variables.

The results of the current study may be of use for nonprofit organizations managers formulating effective recruitment and training policies to retain their volunteers.

The paper contributes to the limited empirical body of the volunteering research. The study is novel as it is one of the few studies conducted using data coming from a non-western context.

This paper examines which basis functions are efficient to employ a combined method of Hull and White (1990) with the Monte Carlo simulation when we price a callable range note or a callable bond. We use the Huge and Rom-Poulsen (2007) method which has modified the least squared Monte Carlo simulation proposed by Longstaff and Schwartz (2001) to reduce the estimation errors of the continuation value or the underlying assets. To use Monte carlo Simulation for pricing the early exercise premium, it is essential to accurately estimate the continuation value, because the investors will choose the higher value between the exercise and the continuation value at the possible early exercise dates. The main purpose of this paper is to analyze the estimation errors originating from the choice of the basis functions for the underlying asset and the continuation value estimation.

We choose the callable bond and the callable range accrual note to show which basis functions are reliable to reduce the estimation errors. For this purpose, we replicate the callable range accrual note with a portfolio of a fixed rate bond and a delayed digital option. We use several basis functions such as a constant, the instantaneous interest rates, and the range in order to see which basis function is efficient for our purpose. We examine several combinations of the basis functions depending on which basis functions will be used for the underlying asset or the continuation value estimation. We show that the range which is an important determinant of the callable range accrual note is an effective basis function to accurately determine the underlying asset and the continuation value for the pricing of the callable range accrual note.

The success and survival of any form of online community relies on the presence and active participation of its users. Hence, ensuring active user participation and retaining existing users is a key concern of the moderators of online communities. To address these challenges, the purpose of this paper is to investigate the epistemic, emotional, and social values that influence users’ intention to continue using an online social media brand community. Moreover, the study also investigates the differences in the influence of the investigated constructs and users’ various activity levels.

This study utilized the consumption value theory framework for testing the relationship between different measures. An empirical analysis of the consumption values of 577 users in an online social media brand community was accomplished using structural equation modeling.

The study findings revealed that emotional and social values exert partial influence in predicting users’ intention to continue using online social media brand communities. In particular, social enhancement and playfulness predict users’ continuation intentions. Moreover, the results show that the influence of the investigated constructs (except playfulness) is consistent across users with various activity levels in online social media brand communities.

These findings pave the way for further theoretical and practical considerations of the role of consumption values in resolving challenges of user participation and retention. However, there are still some open gaps concerning the generalizability of the findings as well as other factors that could potentially influence the user intentions. Future studies should validate the findings by recruiting diverse users in terms of their age and cultural background.

The study findings are of special relevance for the service operators interested in practicing user-centric innovation. Moreover, the findings can help online social media brand community managers to kick start user-centric innovation activities in their community.

The study provides a novel perspective on the challenges of assessing users’ consumption behavior. The perceived values have been conceptualized using the constructs of social influence, problem solving, playfulness, social enhancement, and social interaction.

The purpose of this paper is to examine how the real option theory is applicable to evaluation of cases of escalation and premature termination of Management Information Systems (MIS) projects.

The paper compares the implications of psychological and economic escalation theories with lessons from the real option theory as applied to MIS projects. Then, it examines published case studies, and discuss when project continuation enhances and reduces value for the manager and the firm.

Escalation of commitment is continuation of an investment project after receiving negative signals. Escalation was identified as a significant problem in MIS projects often explained by the desire of the manager to avoid recognizing mistakes and to protect reputation. The opposite problem of premature termination of certain investment projects was also identified. This study argues that accurate application of real option theory is critical to distinguish between escalation and premature termination. Under the real option theory, an investment project is analogous to a financial option, in that there is an opportunity to continue the project, but no obligation. Continuation has value when there is uncertainty and new information about the project may be revealed. Failure to account for the real options in a project is value‐reducing as it may lead to mistakes in premature termination of projects when projects with real option value are labeled as cases of irrational escalation.

The paper details the implications of real option theory to evaluating project continuation in the MIS setting.

This paper applies insights from real option theory to studies of escalation in MIS. Continuing a project may be seen as escalation when it actually has value for the firm, as new information received by continuing the project reduces uncertainty.

Trends in the car and aircraft manufacturing industry showed an evolution in the configuration and management of the production network. For instance, the aerospace manufacturing industry tended to be a closed system, competing on scale of production and focusing on maximization of own profit. Nowadays the automotive companies are developing open systems under the influence of globalization, outsourcing, and co-creation of value. Doing this with suppliers causes a shift of value from the focal firm to the supply chain, creating a value levering position for the so-called large-scale system integrator (LSSI). The leverage of value on suppliers introduces the value-leverage capability of the LSSI company. The capability of the LSSI to balance continuation, conception, and configuration is crucial for (long-term) profitability and competitive position. To express the value-leverage capabilities, the authors propose the variables “turnover per employee” (T/E), “research and development per employee” (RD/E), and “profit per employee” (P/E), whose (inter) relationship determines the capabilities.