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A real option approach to optimal inventory management of retail products
1. | College of Management, Georgia Institute of Technology, 800 West Peachtree Street NW Atlanta, Georgia 30308-0520 |
2. | Advanced Modeling and Applied Computing Laboratory, Department of Mathematics, The University of Hong Kong, Pokfulam Road, Hong Kong, China |
3. | Department of Applied Finance and Actuarial Studies and the Centre for Financial Risk, Faculty of Business and Economics, Macquarie University, Sydney, NSW 2109, Australia |
4. | Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong |
References:
[1] |
P. D. Childsa, S. H. Ott and A. J. Triantis, Capital budgeting for interrelated projects: A real options approach, Journal of Financial and Quantitative Analysis, 33 (1998), 305-334.
doi: 10.2307/2331098. |
[2] |
W. Ching, Markov-modulated Poisson processes for multi-location inventory problems, International Journal of Production Economics, 53 (1997), 217-223.
doi: 10.1016/S0925-5273(97)00114-X. |
[3] |
W. Ching, An inventory model for manufacturing systems with delivery time guarantees, Computers and Operations Research, 25 (1998), 367-377.
doi: 10.1016/S0305-0548(97)00077-4. |
[4] |
W. Ching, T. Li and S. Choi, A tandem queueing system with applications to pricing strategy, J. Ind. Manag. Optim., 5 (2009), 103-114. |
[5] |
T. Copeland, T. Koller and J. Murrin, "Valuation: Measuring and Managing the Value of Companies," 3rd edition, Wiley, New York, 2000. |
[6] |
M. Dai, H. Y. Wong and Y. K. Kwok, Quanto lookback options, Mathematical Finance, 14 (2004), 445-467.
doi: 10.1111/j.0960-1627.2004.00199.x. |
[7] |
A. Damodaran, "Damodaran on Valuation," Wiley, New York, 1994. |
[8] |
A. Dixit and R. Pindyck, "Investment Under Uncertainty," Princeton University Press, Princeton, NJ, 1994. |
[9] |
R. M. Feldman, A continuous review (s, S) inventory system in a random environment, Journal of Applied Probability, 15 (1978), 654-659.
doi: 10.2307/3213131. |
[10] |
S. M. Gilbert and R. H. Ballou, Supply chain benefits from advanced customer commitments, Journal of Operations Management, 18 (1999), 61-73.
doi: 10.1016/S0272-6963(99)00012-1. |
[11] |
V. Henderson, Valuing the option to invest in an incomplete market, Mathematics and Financial Economics, 1 (2007), 103-128.
doi: 10.1007/s11579-007-0005-z. |
[12] |
A. Huchzermeier and C. H. Loch, Project management under risk: Using the real options approach to evaluate flexibility in R&D, Management Science, 47 (2001), 85-101.
doi: 10.1287/mnsc.47.1.85.10661. |
[13] |
D. Kellogg and J. Charnes, Real-options valuation for a biotechnology company, Financial Analysts Journal, 56 (2000), 76-84.
doi: 10.2469/faj.v56.n3.2362. |
[14] |
H. L. Lee, K. C. So and C. S. Tang, The value of information sharing in a two-level supply chain, Management Science, 46 (2000), 626-643
doi: 10.1287/mnsc.46.5.626.12047. |
[15] |
W. S. Lovejoy, Myopic policies for some inventory models with uncertain demand distributions, Management Science, 36 (1990), 724-738.
doi: 10.1287/mnsc.36.6.724. |
[16] |
E. Schwartz and M. Moon, Rational pricing of internet companies, Financial Analysts Journal, 56 (2000), 62-75.
doi: 10.2469/faj.v56.n3.2361. |
[17] |
M. E. Schweitzer and G. P. Cachon, Decision bias in The newsvendor problems with a known demand distribution: Experimental evidence, Management Science, 46 (2000), 404-420.
doi: 10.1287/mnsc.46.3.404.12070. |
[18] |
Tak Kuen Siu, Howell Tong and Hailiang Yang, Option pricing under threshold autoregressive models by threshold Esscher transform, J. Ind. Manag. Optim., 2 (2006), 177-197.
doi: 10.3934/jimo.2006.2.177. |
[19] |
C.-O. Ewald and Z. Yang, Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk, Mathematical Methods of Operations Research, 68 (2008), 97-123.
doi: 10.1007/s00186-007-0190-9. |
[20] |
X. Xu and X. Cai, Price and delivery-time competition of perishable products: Existence and uniqueness of Nash equilibrium, J. Ind. Manag. Optim., 4 (2008), 843-859.
doi: 10.3934/jimo.2008.4.843. |
[21] |
K. F. C. Yiu, S. Y. Wang and K. L. Mak, Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains, J. Ind. Manag. Optim., 4 (2008), 81-94. |
show all references
References:
[1] |
P. D. Childsa, S. H. Ott and A. J. Triantis, Capital budgeting for interrelated projects: A real options approach, Journal of Financial and Quantitative Analysis, 33 (1998), 305-334.
doi: 10.2307/2331098. |
[2] |
W. Ching, Markov-modulated Poisson processes for multi-location inventory problems, International Journal of Production Economics, 53 (1997), 217-223.
doi: 10.1016/S0925-5273(97)00114-X. |
[3] |
W. Ching, An inventory model for manufacturing systems with delivery time guarantees, Computers and Operations Research, 25 (1998), 367-377.
doi: 10.1016/S0305-0548(97)00077-4. |
[4] |
W. Ching, T. Li and S. Choi, A tandem queueing system with applications to pricing strategy, J. Ind. Manag. Optim., 5 (2009), 103-114. |
[5] |
T. Copeland, T. Koller and J. Murrin, "Valuation: Measuring and Managing the Value of Companies," 3rd edition, Wiley, New York, 2000. |
[6] |
M. Dai, H. Y. Wong and Y. K. Kwok, Quanto lookback options, Mathematical Finance, 14 (2004), 445-467.
doi: 10.1111/j.0960-1627.2004.00199.x. |
[7] |
A. Damodaran, "Damodaran on Valuation," Wiley, New York, 1994. |
[8] |
A. Dixit and R. Pindyck, "Investment Under Uncertainty," Princeton University Press, Princeton, NJ, 1994. |
[9] |
R. M. Feldman, A continuous review (s, S) inventory system in a random environment, Journal of Applied Probability, 15 (1978), 654-659.
doi: 10.2307/3213131. |
[10] |
S. M. Gilbert and R. H. Ballou, Supply chain benefits from advanced customer commitments, Journal of Operations Management, 18 (1999), 61-73.
doi: 10.1016/S0272-6963(99)00012-1. |
[11] |
V. Henderson, Valuing the option to invest in an incomplete market, Mathematics and Financial Economics, 1 (2007), 103-128.
doi: 10.1007/s11579-007-0005-z. |
[12] |
A. Huchzermeier and C. H. Loch, Project management under risk: Using the real options approach to evaluate flexibility in R&D, Management Science, 47 (2001), 85-101.
doi: 10.1287/mnsc.47.1.85.10661. |
[13] |
D. Kellogg and J. Charnes, Real-options valuation for a biotechnology company, Financial Analysts Journal, 56 (2000), 76-84.
doi: 10.2469/faj.v56.n3.2362. |
[14] |
H. L. Lee, K. C. So and C. S. Tang, The value of information sharing in a two-level supply chain, Management Science, 46 (2000), 626-643
doi: 10.1287/mnsc.46.5.626.12047. |
[15] |
W. S. Lovejoy, Myopic policies for some inventory models with uncertain demand distributions, Management Science, 36 (1990), 724-738.
doi: 10.1287/mnsc.36.6.724. |
[16] |
E. Schwartz and M. Moon, Rational pricing of internet companies, Financial Analysts Journal, 56 (2000), 62-75.
doi: 10.2469/faj.v56.n3.2361. |
[17] |
M. E. Schweitzer and G. P. Cachon, Decision bias in The newsvendor problems with a known demand distribution: Experimental evidence, Management Science, 46 (2000), 404-420.
doi: 10.1287/mnsc.46.3.404.12070. |
[18] |
Tak Kuen Siu, Howell Tong and Hailiang Yang, Option pricing under threshold autoregressive models by threshold Esscher transform, J. Ind. Manag. Optim., 2 (2006), 177-197.
doi: 10.3934/jimo.2006.2.177. |
[19] |
C.-O. Ewald and Z. Yang, Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk, Mathematical Methods of Operations Research, 68 (2008), 97-123.
doi: 10.1007/s00186-007-0190-9. |
[20] |
X. Xu and X. Cai, Price and delivery-time competition of perishable products: Existence and uniqueness of Nash equilibrium, J. Ind. Manag. Optim., 4 (2008), 843-859.
doi: 10.3934/jimo.2008.4.843. |
[21] |
K. F. C. Yiu, S. Y. Wang and K. L. Mak, Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains, J. Ind. Manag. Optim., 4 (2008), 81-94. |
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