Valuing fixed price supply contracts

DOI10.1016/0377-2217(94)90202-XzbMath0802.90054OpenAlexW2030004513MaRDI QIDQ1330547

Bardia Kamrad, Peter H. Ritchken

Publication date: 21 July 1994

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(94)90202-x

zbMATH Keywords

Wiener processesstochastic dynamic programmingarbitraryItô's lemmacontingent claims analysisapproximating latticesswitching production rates

Mathematics Subject Classification ID

Production models (90B30) Microeconomic theory (price theory and economic markets) (91B24) Dynamic programming (90C39) Stochastic systems in control theory (general) (93E03)

Related Items

Single machine scheduling under market uncertainty, Analysis of supply contracts with minimum total order quantity commitments and non-stationary demands

Cites Work

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• Multinomial Approximating Models for Options with k State Variables