• Previous Article
    Efficiency, RTS, and marginal returns from salary on the performance of the NBA players: A parallel DEA network with shared inputs
  • JIMO Home
  • This Issue
  • Next Article
    Multi-objective optimization for a combined location-routing-inventory system considering carbon-capped differences
May  2022, 18(3): 1979-2000. doi: 10.3934/jimo.2021052

Fresh produce price-setting newsvendor with bidirectional option contracts

1. 

School of Business, Sichuan Agricultural University, Chengdu, 611830, China

2. 

School of Management and Economics, University of Electronic Science and Technology of China, Chengdu, 611731, China

* Corresponding author: Xu Chen

Received  August 2020 Revised  December 2020 Published  May 2022 Early access  March 2021

This paper examines a newsvendor problem for fresh produce with bidirectional option contracts, in which the stochastic demand is price-dependent. The bidirectional option, which may be exercised as either a call or put option, provides the newsvendor the flexibility to increase or decrease the initial order after real demand is realized, respectively. The condition of the fresh produce may deteriorate during circulation. The optimal order and pricing decisions for the newsvendor are analytically derived with the bidirectional option and circulation loss. Comparative statics analysis show that the optimal total order quantity and optimal retail price of the newsvendor decrease with the option price but increase with the exercise price. In addition, numerical examples show that the optimal total order quantity and optimal retail price of the newsvendor increase with the circulation loss. The optimal option order quantity first decreases then increases with the exercise price. The optimal firm order quantity first increases then decreases with the circulation loss. The maximum profit of the newsvendor decreases with the option price and circulation loss but increases with the exercise price. Furthermore, the values of bidirectional option contracts are more significant when the demand uncertainty and the circulation loss become more volatile.

Citation: Chong Wang, Xu Chen. Fresh produce price-setting newsvendor with bidirectional option contracts. Journal of Industrial and Management Optimization, 2022, 18 (3) : 1979-2000. doi: 10.3934/jimo.2021052
References:
[1]

R. AkkermanP. Farahani and M. Grunow, Quality, safety and sustainability in food distribution: a review of quantitative operations management approaches and challenges, OR Spectrum, 32 (2010), 863-904.  doi: 10.1007/s00291-010-0223-2.

[2]

M. Bagnoli and T. Bergstrom, Log-concave probability and its applications, Economic Theory, 26 (2005), 445-469.  doi: 10.1007/s00199-004-0514-4.

[3]

D. Barnes-SchusterY. Bassok and R. Anupindi, Coordination and flexibility in supply contracts with options, Manufacturing & Service Operations Management, 4 (2002), 171-240.  doi: 10.1287/msom.4.3.171.7754.

[4]

J. Blackburn and G. Scudder, Supply chain strategies for perishable products: The case of fresh produce, Production and Operations Management, 18 (2009), 129-137.  doi: 10.1111/j.1937-5956.2009.01016.x.

[5]

X. CaiJ. ChenY. Xiao and al. et, Optimization and coordination of fresh product supply chains with freshness-keeping effort, Production and Operations Management, 19 (2010), 261-278.  doi: 10.1111/j.1937-5956.2009.01096.x.

[6]

F. Chen and M. Parlar, Value of a put option to the risk-averse newsvendor, IIE Transactions, 39 (2007), 481-500.  doi: 10.1080/07408170600941607.

[7]

X. Chen and N. Wan, Multiperiod portfolio procurement problem with option contracts, IEEE Transactions on Engineering Management, (2019), 1–17. doi: 10.1109/TEM. 2019.2923526.

[8]

X. ChenN. Wan and X. Wang, Flexibility and coordination in a supply chain with bidirectional option contracts and service requirement, International Journal of Production Economics, 193 (2017), 183-192.  doi: 10.1016/j.ijpe.2017.07.013.

[9]

X. ChenG. Hao and L. Li, Channel coordination with a loss-averse newsvendor and option contracts, International Journal of Production Economics, 150 (2014), 52-57. 

[10]

X. Chen and Z. J. Shen, An analysis of a supply chain with options contracts and service requirements, IIE Transactions, 44 (2012), 805-819.  doi: 10.1080/0740817X.2011.649383.

[11]

F. Fang and A. Whinston, Option contracts and capacity management-enabling price discrimination under demand uncertainty, Production and Operations Management, 16 (2007), 125-137.  doi: 10.1111/j.1937-5956.2007.tb00170.x.

[12]

Y. FengY. MuB. Hu and al. et, Commodity options purchasing and credit financing under capital constraint, International Journal of Production Economics, 153 (2014), 230-237.  doi: 10.1016/j.ijpe.2014.03.003.

[13]

Q. FuS. X. ZhouX. Chao and al. et, Combined pricing and portfolio option procurement, Production and Operations Management, 21 (2012), 361-377.  doi: 10.1111/j.1937-5956.2011.01255.x.

[14]

A. Gomez_Padilla and T. Mishina, Supply contract with options, International Journal of Production Economics, 122 (2009), 312-318. 

[15]

X. Hou and D. Liu, Building fresh product supply chain cooperation in a typical wholesale market, Journal of the Operational Research Society, 68 (2017), 566-576.  doi: 10.1057/s41274-016-0025-2.

[16]

Z. HuaS. Li and L. Liang, Impact of demand uncertainty on supply chain cooperation of single-period products, International Journal of Production Economics, 100 (2006), 268-284.  doi: 10.1016/j.ijpe.2004.11.007.

[17]

K. InderfurthP. Kelle and R. Kleber, Dual sourcing using capacity reservation and spot market: Optimal procurement policy and heuristic parameter determination, European Journal of Operational Research, 225 (2013), 298-309.  doi: 10.1016/j.ejor.2012.08.025.

[18]

C. Y. LeeX. Li and M. Yu, The loss-averse newsvendor problem with supply options, Naval Research Logistics, 62 (2015), 46-59.  doi: 10.1002/nav.21613.

[19]

J. LiX. Cai and Y. Zeng, Cost allocation for less-than-truckload collaboration among perishable product retailers, OR Spectrum, 38 (2016), 81-117.  doi: 10.1007/s00291-015-0424-9.

[20]

J. C. LiY. W. Zhou and W. Huang, Production and procurement strategies for seasonal product supply chain under yield uncertainty with commitment-option contracts, International Journal of Production Economics, 183 (2017), 208-222.  doi: 10.1016/j.ijpe.2016.10.019.

[21]

C. LiuZ. JiangL. Liu and al. et, Solutions for flexible container leasing contracts with options under capacity and order constraints, International Journal of Production Economics, 141 (2013), 403-413.  doi: 10.1016/j.ijpe.2012.09.005.

[22]

G. LiuJ. Zhang and W. Tang, Joint dynamic pricing and investment strategy for perishable foods with price-quality dependent demand, Annals of Operations Research, 226 (2015), 397-416.  doi: 10.1007/s10479-014-1671-x.

[23]

T. J. Lowe and P. V. Preckel, Decision technologies for agribusiness problems: A brief review of selected literature and a call for research, Manufacturing & Service Operations Management, 6 (2014), 201-208.  doi: 10.1287/msom.1040.0051.

[24]

J. Luo and X. Chen, Risk hedging via option contracts in a random yield supply chain, Annals of Operations Research, 257 (2017), 697-719.  doi: 10.1007/s10479-015-1964-8.

[25]

S. MarzbanM. Mahootchi and A. A. Khamseh, Developing a multi-period robust optimization model considering American style options, Annals of Operations Research, 233 (2015), 305-320.  doi: 10.1007/s10479-013-1461-x.

[26]

Y. Merzifonluoglu, Integrated demand and procurement portfolio management with spot market volatility and option contracts, European Journal of Operational Research, 258 (2017), 181-192.  doi: 10.1016/j.ejor.2016.08.052.

[27]

J. M. Milner and M. J. Rosenblatt, Flexible supply contracts for short life-cycle goods: The buyer's perspective, Naval Research Logistics, 49 (2002), 25-45.  doi: 10.1002/nav.10002.

[28]

V. NagaliJ. HwangD. Sanghera and al. et, Procurement risk management (PRM) at Hewlett-Packard Company, Interfaces, 38 (2008), 51-60.  doi: 10.1287/inte.1070.0333.

[29]

I. Nosoohi and A. S. Nookabadi, Outsource planning through option contracts with demand and cost uncertainty, European Journal of Operational Research, 250 (2016), 131-142.  doi: 10.1016/j.ejor.2015.10.030.

[30]

N. C. Petruzzi and M. Dada, Pricing and the newsvendor problem: A review with extensions, Operations Research, 47 (1999), 183-194.  doi: 10.1287/opre.47.2.183.

[31]

W. E. Soto-SilvaE. Nadal-RoigM. C. González-Araya and al. et, Operational research models applied to the fresh fruit supply chain, European Journal of Operational Research, 251 (2016), 345-355.  doi: 10.1016/j.ejor.2015.08.046.

[32]

S. Treville, N. Schürhoff and L. Trigeorgis, et al., Optimal sourcing and lead-time reduction under evolutionary demand risk, Production and Operations Management, 23 (2014), 2103- 2117.

[33]

C. Wang and X. Chen, Optimal ordering policy for a price-setting newsvendor with option contracts under demand uncertainty, International Journal of Production Research, 53 (2015), 6279-6293.  doi: 10.1080/00207543.2015.1053577.

[34]

C. Wang and X. Chen, Option pricing and coordination in the fresh produce supply chain with portfolio contracts, Annals of Operations Research, 248 (2017), 471-491.  doi: 10.1007/s10479-016-2167-7.

[35]

C. Wang and X. Chen, Joint order and pricing decisions for fresh produce with put option contracts, Journal of the Operational Research Society, 69 (2018), 474-484. 

[36]

Q. Wang and D. B. Tsao, Supply contract with bidirectional options: The buyer's perspective, International Journal of Production Economics, 101 (2006), 30-52. 

[37]

X. WangZ. P. Fan and Z. Liu, Optimal markdown policy of perishable food under the consumer price fairness perception, International Journal of Production Research, 54 (2016), 5811-5828.  doi: 10.1080/00207543.2016.1179810.

[38]

X. WangF. LiL. Liang and al. et, Pre-purchasing with option contract and coordination in a relief supply chain, International Journal of Production Economics, 167 (2015), 170-176.  doi: 10.1016/j.ijpe.2015.05.031.

[39]

Wilson, New rules on security of gas supply, 2016. Available from: http://www.europarl.europa.eu/RegData/etudes/ BRIE/2016/593487/EPRS_BRI%282016%29593487_EN.pdf.

[40]

D. J. Wu and P. R. Kleindorfer, Competitive options, supply contracting, and electronic markets, Management Science, 51 (2005), 452-466.  doi: 10.1287/mnsc.1040.0341.

[41]

Y. Xiao and J. Chen, Supply chain management of fresh products with producer transportation, Decision Sciences, 43 (2012), 785-815.  doi: 10.1111/j.1540-5915.2012.00375.x.

[42]

H. Xu, Managing production and procurement through option contracts in supply chains with random yield, International Journal of Production Economics, 126 (2010), 306-313. 

[43]

W. XueL. Ma and H. Shen, Optimal inventory and hedging decisions with CVaR consideration, International Journal of Production Economics, 162 (2015), 70-82.  doi: 10.1016/j.ijpe.2015.01.011.

[44]

J. ZhangG. LiuQ. Zhang and al. et, Coordinating a supply chain for deteriorating items with a revenue sharing and cooperative investment contract, Omega, 56 (2015), 37-49.  doi: 10.1016/j.omega.2015.03.004.

[45]

Y. ZhaoL. MaG. Xie and al. et, Coordination of supply chains with bidirectional option contracts, European Journal of Operational Research, 229 (2013), 375-381. 

show all references

References:
[1]

R. AkkermanP. Farahani and M. Grunow, Quality, safety and sustainability in food distribution: a review of quantitative operations management approaches and challenges, OR Spectrum, 32 (2010), 863-904.  doi: 10.1007/s00291-010-0223-2.

[2]

M. Bagnoli and T. Bergstrom, Log-concave probability and its applications, Economic Theory, 26 (2005), 445-469.  doi: 10.1007/s00199-004-0514-4.

[3]

D. Barnes-SchusterY. Bassok and R. Anupindi, Coordination and flexibility in supply contracts with options, Manufacturing & Service Operations Management, 4 (2002), 171-240.  doi: 10.1287/msom.4.3.171.7754.

[4]

J. Blackburn and G. Scudder, Supply chain strategies for perishable products: The case of fresh produce, Production and Operations Management, 18 (2009), 129-137.  doi: 10.1111/j.1937-5956.2009.01016.x.

[5]

X. CaiJ. ChenY. Xiao and al. et, Optimization and coordination of fresh product supply chains with freshness-keeping effort, Production and Operations Management, 19 (2010), 261-278.  doi: 10.1111/j.1937-5956.2009.01096.x.

[6]

F. Chen and M. Parlar, Value of a put option to the risk-averse newsvendor, IIE Transactions, 39 (2007), 481-500.  doi: 10.1080/07408170600941607.

[7]

X. Chen and N. Wan, Multiperiod portfolio procurement problem with option contracts, IEEE Transactions on Engineering Management, (2019), 1–17. doi: 10.1109/TEM. 2019.2923526.

[8]

X. ChenN. Wan and X. Wang, Flexibility and coordination in a supply chain with bidirectional option contracts and service requirement, International Journal of Production Economics, 193 (2017), 183-192.  doi: 10.1016/j.ijpe.2017.07.013.

[9]

X. ChenG. Hao and L. Li, Channel coordination with a loss-averse newsvendor and option contracts, International Journal of Production Economics, 150 (2014), 52-57. 

[10]

X. Chen and Z. J. Shen, An analysis of a supply chain with options contracts and service requirements, IIE Transactions, 44 (2012), 805-819.  doi: 10.1080/0740817X.2011.649383.

[11]

F. Fang and A. Whinston, Option contracts and capacity management-enabling price discrimination under demand uncertainty, Production and Operations Management, 16 (2007), 125-137.  doi: 10.1111/j.1937-5956.2007.tb00170.x.

[12]

Y. FengY. MuB. Hu and al. et, Commodity options purchasing and credit financing under capital constraint, International Journal of Production Economics, 153 (2014), 230-237.  doi: 10.1016/j.ijpe.2014.03.003.

[13]

Q. FuS. X. ZhouX. Chao and al. et, Combined pricing and portfolio option procurement, Production and Operations Management, 21 (2012), 361-377.  doi: 10.1111/j.1937-5956.2011.01255.x.

[14]

A. Gomez_Padilla and T. Mishina, Supply contract with options, International Journal of Production Economics, 122 (2009), 312-318. 

[15]

X. Hou and D. Liu, Building fresh product supply chain cooperation in a typical wholesale market, Journal of the Operational Research Society, 68 (2017), 566-576.  doi: 10.1057/s41274-016-0025-2.

[16]

Z. HuaS. Li and L. Liang, Impact of demand uncertainty on supply chain cooperation of single-period products, International Journal of Production Economics, 100 (2006), 268-284.  doi: 10.1016/j.ijpe.2004.11.007.

[17]

K. InderfurthP. Kelle and R. Kleber, Dual sourcing using capacity reservation and spot market: Optimal procurement policy and heuristic parameter determination, European Journal of Operational Research, 225 (2013), 298-309.  doi: 10.1016/j.ejor.2012.08.025.

[18]

C. Y. LeeX. Li and M. Yu, The loss-averse newsvendor problem with supply options, Naval Research Logistics, 62 (2015), 46-59.  doi: 10.1002/nav.21613.

[19]

J. LiX. Cai and Y. Zeng, Cost allocation for less-than-truckload collaboration among perishable product retailers, OR Spectrum, 38 (2016), 81-117.  doi: 10.1007/s00291-015-0424-9.

[20]

J. C. LiY. W. Zhou and W. Huang, Production and procurement strategies for seasonal product supply chain under yield uncertainty with commitment-option contracts, International Journal of Production Economics, 183 (2017), 208-222.  doi: 10.1016/j.ijpe.2016.10.019.

[21]

C. LiuZ. JiangL. Liu and al. et, Solutions for flexible container leasing contracts with options under capacity and order constraints, International Journal of Production Economics, 141 (2013), 403-413.  doi: 10.1016/j.ijpe.2012.09.005.

[22]

G. LiuJ. Zhang and W. Tang, Joint dynamic pricing and investment strategy for perishable foods with price-quality dependent demand, Annals of Operations Research, 226 (2015), 397-416.  doi: 10.1007/s10479-014-1671-x.

[23]

T. J. Lowe and P. V. Preckel, Decision technologies for agribusiness problems: A brief review of selected literature and a call for research, Manufacturing & Service Operations Management, 6 (2014), 201-208.  doi: 10.1287/msom.1040.0051.

[24]

J. Luo and X. Chen, Risk hedging via option contracts in a random yield supply chain, Annals of Operations Research, 257 (2017), 697-719.  doi: 10.1007/s10479-015-1964-8.

[25]

S. MarzbanM. Mahootchi and A. A. Khamseh, Developing a multi-period robust optimization model considering American style options, Annals of Operations Research, 233 (2015), 305-320.  doi: 10.1007/s10479-013-1461-x.

[26]

Y. Merzifonluoglu, Integrated demand and procurement portfolio management with spot market volatility and option contracts, European Journal of Operational Research, 258 (2017), 181-192.  doi: 10.1016/j.ejor.2016.08.052.

[27]

J. M. Milner and M. J. Rosenblatt, Flexible supply contracts for short life-cycle goods: The buyer's perspective, Naval Research Logistics, 49 (2002), 25-45.  doi: 10.1002/nav.10002.

[28]

V. NagaliJ. HwangD. Sanghera and al. et, Procurement risk management (PRM) at Hewlett-Packard Company, Interfaces, 38 (2008), 51-60.  doi: 10.1287/inte.1070.0333.

[29]

I. Nosoohi and A. S. Nookabadi, Outsource planning through option contracts with demand and cost uncertainty, European Journal of Operational Research, 250 (2016), 131-142.  doi: 10.1016/j.ejor.2015.10.030.

[30]

N. C. Petruzzi and M. Dada, Pricing and the newsvendor problem: A review with extensions, Operations Research, 47 (1999), 183-194.  doi: 10.1287/opre.47.2.183.

[31]

W. E. Soto-SilvaE. Nadal-RoigM. C. González-Araya and al. et, Operational research models applied to the fresh fruit supply chain, European Journal of Operational Research, 251 (2016), 345-355.  doi: 10.1016/j.ejor.2015.08.046.

[32]

S. Treville, N. Schürhoff and L. Trigeorgis, et al., Optimal sourcing and lead-time reduction under evolutionary demand risk, Production and Operations Management, 23 (2014), 2103- 2117.

[33]

C. Wang and X. Chen, Optimal ordering policy for a price-setting newsvendor with option contracts under demand uncertainty, International Journal of Production Research, 53 (2015), 6279-6293.  doi: 10.1080/00207543.2015.1053577.

[34]

C. Wang and X. Chen, Option pricing and coordination in the fresh produce supply chain with portfolio contracts, Annals of Operations Research, 248 (2017), 471-491.  doi: 10.1007/s10479-016-2167-7.

[35]

C. Wang and X. Chen, Joint order and pricing decisions for fresh produce with put option contracts, Journal of the Operational Research Society, 69 (2018), 474-484. 

[36]

Q. Wang and D. B. Tsao, Supply contract with bidirectional options: The buyer's perspective, International Journal of Production Economics, 101 (2006), 30-52. 

[37]

X. WangZ. P. Fan and Z. Liu, Optimal markdown policy of perishable food under the consumer price fairness perception, International Journal of Production Research, 54 (2016), 5811-5828.  doi: 10.1080/00207543.2016.1179810.

[38]

X. WangF. LiL. Liang and al. et, Pre-purchasing with option contract and coordination in a relief supply chain, International Journal of Production Economics, 167 (2015), 170-176.  doi: 10.1016/j.ijpe.2015.05.031.

[39]

Wilson, New rules on security of gas supply, 2016. Available from: http://www.europarl.europa.eu/RegData/etudes/ BRIE/2016/593487/EPRS_BRI%282016%29593487_EN.pdf.

[40]

D. J. Wu and P. R. Kleindorfer, Competitive options, supply contracting, and electronic markets, Management Science, 51 (2005), 452-466.  doi: 10.1287/mnsc.1040.0341.

[41]

Y. Xiao and J. Chen, Supply chain management of fresh products with producer transportation, Decision Sciences, 43 (2012), 785-815.  doi: 10.1111/j.1540-5915.2012.00375.x.

[42]

H. Xu, Managing production and procurement through option contracts in supply chains with random yield, International Journal of Production Economics, 126 (2010), 306-313. 

[43]

W. XueL. Ma and H. Shen, Optimal inventory and hedging decisions with CVaR consideration, International Journal of Production Economics, 162 (2015), 70-82.  doi: 10.1016/j.ijpe.2015.01.011.

[44]

J. ZhangG. LiuQ. Zhang and al. et, Coordinating a supply chain for deteriorating items with a revenue sharing and cooperative investment contract, Omega, 56 (2015), 37-49.  doi: 10.1016/j.omega.2015.03.004.

[45]

Y. ZhaoL. MaG. Xie and al. et, Coordination of supply chains with bidirectional option contracts, European Journal of Operational Research, 229 (2013), 375-381. 

Figure 1.  Sequence of events and decisions
Figure 2.  Effect of CV on the optimal decisions and maximum expected profits of the NV
Figure 3.  Effect of CV on the optimal order quantities of the M-NV
Figure 4.  Effect of $ o $ on the M-NV's optimal decisions and maximum expected profits
Figure 5.  Effect of $ o $ on the optimal order quantities of the M-NV
Figure 6.  Effect of $ e $ on the optimal decisions and maximum expected profits of the M-NV
Figure 7.  Effect of $ e $ on the optimal order quantities of the M-NV
Figure 8.  Effect of $ \beta $ on the optimal decisions and maximum expected profits of the NVs
Figure 9.  Effect of $ \beta $ on the optimal order quantities of the M-NV
Table 1.  Notation
Symbol Description
$ \varepsilon $ The random demand, $ \varepsilon \in[A,B] $, and $ E(\varepsilon)=\mu $;
$ f(x) $ The PDF function of $ \varepsilon $;
$ F(x) $ The CDF function of $ \varepsilon $;
$ D(p,\varepsilon) $ The demand function;
$ \beta $ The circulation loss of fresh produce, and $ 0<\beta<1 $;
$ o $ The per unit charge for purchasing bidirectional options (option price);
$ c $ The per unit charge for firm orders (wholesale price);
$ e $ The per unit charge/compensation for exercising bidirectional options (exercise price);
$ s $ The per unit penalty cost for unfilled demand;
$ p $ The per unit selling price of product;
$ q_c $ The firm order quantity of the M-NV;
$ q_o $ The option order quantity of the M-NV;
$ q $ The total order quantity of the M-NV, note $ q=q_c+q_o $;
$ \pi(\cdot) $ The profit of the M-NV;
N Subscript, denoting the case where no bidirectional options are offered for the F-NV.
Symbol Description
$ \varepsilon $ The random demand, $ \varepsilon \in[A,B] $, and $ E(\varepsilon)=\mu $;
$ f(x) $ The PDF function of $ \varepsilon $;
$ F(x) $ The CDF function of $ \varepsilon $;
$ D(p,\varepsilon) $ The demand function;
$ \beta $ The circulation loss of fresh produce, and $ 0<\beta<1 $;
$ o $ The per unit charge for purchasing bidirectional options (option price);
$ c $ The per unit charge for firm orders (wholesale price);
$ e $ The per unit charge/compensation for exercising bidirectional options (exercise price);
$ s $ The per unit penalty cost for unfilled demand;
$ p $ The per unit selling price of product;
$ q_c $ The firm order quantity of the M-NV;
$ q_o $ The option order quantity of the M-NV;
$ q $ The total order quantity of the M-NV, note $ q=q_c+q_o $;
$ \pi(\cdot) $ The profit of the M-NV;
N Subscript, denoting the case where no bidirectional options are offered for the F-NV.
Table 2.  Effect of bidirectional option contracts
Optimal total order quantity Optimal option order quantity Optimal price Maximum expected profit
Fresh produce F-NV 342 32.80 3829
Fresh produce M-NV 403 102 33.07 4370
Optimal total order quantity Optimal option order quantity Optimal price Maximum expected profit
Fresh produce F-NV 342 32.80 3829
Fresh produce M-NV 403 102 33.07 4370
[1]

Han Zhao, Bangdong Sun, Hui Wang, Shiji Song, Yuli Zhang, Liejun Wang. Optimization and coordination in a service-constrained supply chain with the bidirectional option contract under conditional value-at-risk. Discrete and Continuous Dynamical Systems - S, 2022  doi: 10.3934/dcdss.2022021

[2]

Bing Zhou, Yufeng Li, Xin Fang. An optimal freshness-keeping effort model for fresh produce with constraints of special funds. Journal of Industrial and Management Optimization, 2021  doi: 10.3934/jimo.2021215

[3]

Andrew P. Sage. Risk in system of systems engineering and management. Journal of Industrial and Management Optimization, 2008, 4 (3) : 477-487. doi: 10.3934/jimo.2008.4.477

[4]

Mikhail Dokuchaev, Guanglu Zhou, Song Wang. A modification of Galerkin's method for option pricing. Journal of Industrial and Management Optimization, 2021  doi: 10.3934/jimo.2021077

[5]

Cuilian You, Le Bo. Option pricing formulas for generalized fuzzy stock model. Journal of Industrial and Management Optimization, 2020, 16 (1) : 387-396. doi: 10.3934/jimo.2018158

[6]

Ximin Huang, Na Song, Wai-Ki Ching, Tak-Kuen Siu, Ka-Fai Cedric Yiu. A real option approach to optimal inventory management of retail products. Journal of Industrial and Management Optimization, 2012, 8 (2) : 379-389. doi: 10.3934/jimo.2012.8.379

[7]

Lili Ding, Xinmin Liu, Yinfeng Xu. Competitive risk management for online Bahncard problem. Journal of Industrial and Management Optimization, 2010, 6 (1) : 1-14. doi: 10.3934/jimo.2010.6.1

[8]

Kai Zhang, Song Wang. Convergence property of an interior penalty approach to pricing American option. Journal of Industrial and Management Optimization, 2011, 7 (2) : 435-447. doi: 10.3934/jimo.2011.7.435

[9]

Kun Fan, Yang Shen, Tak Kuen Siu, Rongming Wang. On a Markov chain approximation method for option pricing with regime switching. Journal of Industrial and Management Optimization, 2016, 12 (2) : 529-541. doi: 10.3934/jimo.2016.12.529

[10]

Tak Kuen Siu, Howell Tong, Hailiang Yang. Option pricing under threshold autoregressive models by threshold Esscher transform. Journal of Industrial and Management Optimization, 2006, 2 (2) : 177-197. doi: 10.3934/jimo.2006.2.177

[11]

Kai Zhang, Xiaoqi Yang, Kok Lay Teo. A power penalty approach to american option pricing with jump diffusion processes. Journal of Industrial and Management Optimization, 2008, 4 (4) : 783-799. doi: 10.3934/jimo.2008.4.783

[12]

Zhuo Jin, Linyi Qian. Lookback option pricing for regime-switching jump diffusion models. Mathematical Control and Related Fields, 2015, 5 (2) : 237-258. doi: 10.3934/mcrf.2015.5.237

[13]

Cuilian You, Le Bo. Pricing of European call option under fuzzy interest rate. Journal of Industrial and Management Optimization, 2022  doi: 10.3934/jimo.2022033

[14]

Antonio Attalienti, Michele Bufalo. Expected vs. real transaction costs in European option pricing. Discrete and Continuous Dynamical Systems - S, 2022  doi: 10.3934/dcdss.2022063

[15]

Engel John C Dela Vega, Robert J Elliott. Conditional coherent risk measures and regime-switching conic pricing. Probability, Uncertainty and Quantitative Risk, 2021, 6 (4) : 267-300. doi: 10.3934/puqr.2021014

[16]

Miao Tian, Xiangfeng Yang, Yi Zhang. Lookback option pricing problem of mean-reverting stock model in uncertain environment. Journal of Industrial and Management Optimization, 2021, 17 (5) : 2703-2714. doi: 10.3934/jimo.2020090

[17]

Michael C. Fu, Bingqing Li, Rongwen Wu, Tianqi Zhang. Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model. Frontiers of Mathematical Finance, 2022, 1 (1) : 137-160. doi: 10.3934/fmf.2021005

[18]

Nana Wan, Li Li, Xiaozhi Wu, Jianchang Fan. Risk minimization inventory model with a profit target and option contracts under spot price uncertainty. Journal of Industrial and Management Optimization, 2021  doi: 10.3934/jimo.2021093

[19]

Xue Qiao, Zheng Wang, Haoxun Chen. Joint optimal pricing and inventory management policy and its sensitivity analysis for perishable products: Lost sale case. Journal of Industrial and Management Optimization, 2021  doi: 10.3934/jimo.2021079

[20]

Ruopeng Wang, Jinting Wang, Chang Sun. Optimal pricing and inventory management for a loss averse firm when facing strategic customers. Journal of Industrial and Management Optimization, 2018, 14 (4) : 1521-1544. doi: 10.3934/jimo.2018019

2020 Impact Factor: 1.801

Article outline

Figures and Tables

[Back to Top]