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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.
doi: 10.2307/2331098. |
[2] |
W. Ching, Markov-modulated Poisson processes for multi-location inventory problems,, International Journal of Production Economics, 53 (1997), 217.
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.
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.
|
[5] |
T. Copeland, T. Koller and J. Murrin, "Valuation: Measuring and Managing the Value of Companies,", 3rd edition, (2000). Google Scholar |
[6] |
M. Dai, H. Y. Wong and Y. K. Kwok, Quanto lookback options,, Mathematical Finance, 14 (2004), 445.
doi: 10.1111/j.0960-1627.2004.00199.x. |
[7] |
A. Damodaran, "Damodaran on Valuation,", Wiley, (1994). Google Scholar |
[8] |
A. Dixit and R. Pindyck, "Investment Under Uncertainty,", Princeton University Press, (1994). Google Scholar |
[9] |
R. M. Feldman, A continuous review (s, S) inventory system in a random environment,, Journal of Applied Probability, 15 (1978), 654.
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.
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.
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.
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.
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.
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.
doi: 10.1287/mnsc.36.6.724. |
[16] |
E. Schwartz and M. Moon, Rational pricing of internet companies,, Financial Analysts Journal, 56 (2000), 62.
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.
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.
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.
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.
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.
|
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.
doi: 10.2307/2331098. |
[2] |
W. Ching, Markov-modulated Poisson processes for multi-location inventory problems,, International Journal of Production Economics, 53 (1997), 217.
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.
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.
|
[5] |
T. Copeland, T. Koller and J. Murrin, "Valuation: Measuring and Managing the Value of Companies,", 3rd edition, (2000). Google Scholar |
[6] |
M. Dai, H. Y. Wong and Y. K. Kwok, Quanto lookback options,, Mathematical Finance, 14 (2004), 445.
doi: 10.1111/j.0960-1627.2004.00199.x. |
[7] |
A. Damodaran, "Damodaran on Valuation,", Wiley, (1994). Google Scholar |
[8] |
A. Dixit and R. Pindyck, "Investment Under Uncertainty,", Princeton University Press, (1994). Google Scholar |
[9] |
R. M. Feldman, A continuous review (s, S) inventory system in a random environment,, Journal of Applied Probability, 15 (1978), 654.
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.
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.
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.
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.
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.
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.
doi: 10.1287/mnsc.36.6.724. |
[16] |
E. Schwartz and M. Moon, Rational pricing of internet companies,, Financial Analysts Journal, 56 (2000), 62.
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.
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.
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.
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.
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.
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