Optimal Forward Contract Design for Inventory: A Value-of-Waiting Analysis

DOI10.1007/978-3-030-28972-0_4zbMath1448.90008arXiv1904.04725OpenAlexW2936412818MaRDI QIDQ5120020

Roy O. Davies, Adam J. Ostaszewski

Publication date: 9 September 2020

Published in: Ulam Type Stability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.04725

zbMATH Keywords

asymptotic approximationmartingalecomparative staticsoptimal timingoptimal exercise pricevalue of waitingcensor functional equationoptimal forward contract

Mathematics Subject Classification ID

Production models (90B30) Brownian motion (60J65) Inventory, storage, reservoirs (90B05) Statistical aspects of big data and data science (62R07)

Related Items (1)

Subdominant Eigenvalue Location and the Robustness of Dividend Policy Irrelevance

Cites Work

• Multi-factor dynamic investment under uncertainty
• Ulam Type Stability
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