A market-based martingale valuation approach to optimum inventory control in a doubly stochastic jump-diffusion economy
Jack S. K. Chang, Carolyn Chang and Min Shi
| Year of publication: |
2015
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|---|---|
| Authors: | Chang, Jack S. K. ; Chang, Carolyn ; Shi, Min |
| Published in: |
Journal of the Operational Research Society : OR. - Basingstoke, Hampshire : Palgrave, ISSN 0030-3623, ZDB-ID 716033-1. - Vol. 66.2015, 3, p. 405-420
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| Subject: | real-asset martingale valuation | optimum inventory control | newsvendor model | market-based approach | jumps with stochastic volatility and intensity | forward commitments | Lagerhaltungsmodell | Inventory model | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Martingal | Martingale | Lagermanagement | Warehouse management | CAPM |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010487462