Chen, Dar-Hsin; Blenman, Lloyd P. - In: International Journal of Business and Economics 2 (2003) 1, pp. 75-83
This paper presents a generalized serial covariance spread pricing model that unifies and improves existing spread models. We analyze three cost components of spread: order processing, adverse information, and inventory holding costs. We modify Stoll's (1989) model by incorporating a two-period...