Wang, He; Huang, Simin; Liu, Zhen; Zheng, Li - In: Transportation Research Part E: Logistics and … 51 (2013) C, pp. 109-116
We study a tanker chartering decision problem faced by refinery companies. The decision process is formulated as an optimal stopping problem with geometric Brownian motion for the spot freight rate dynamics and a Poisson type arrival process for the tankers. We show the problem can be solved...