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Production planning and inventories optimization : a backward approach in the convex storage cost case

Chazal, Marie; Jouini, Elyès; Tahraoui, Rabah - In: Journal of mathematical economics 44 (2008) 9/10, pp. 997-1023

Persistent link: https://www.econbiz.de/10003744310

Equilibrium pricing bounds on option prices

Chazal, Marie; Jouini, Elyès - In: Mathematics and financial economics 1 (2008) 3/4, pp. 251-281

Persistent link: https://www.econbiz.de/10003722530

Production planning and inventories optimization : a backward approach in the convex storage cost case

Chazal, Marie; Jouini, Elyès; Tahraoui, Rabah - 2003

Persistent link: https://www.econbiz.de/10001900027

Equilibrium Pricing Bound on Option Prices

Jouini, Elyès; Chazal, Marie - Université Paris-Dauphine (Paris IX) - 2008

We consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is not specified, the martingale probability measure is unknown. Given a consensus on the actual distribution of the underlying price at maturity, we...

Persistent link: https://www.econbiz.de/10010905368

Production Planning and Inventories Optimization : A Backward Approach in the Convex Storage Cost Case

Chazal, Marie; Jouini, Elyès; Tahraoui, Rabah - Centre de Recherche en Économie et Statistique … - 2003

We study the deterministic optimization problem of a profit-maximizing firmwhich plans its sales/production schedule. The firm controls both its productionand sales rates and knows the revenue associated to a given level of sales, aswell as its production and storage costs. The revenue and the...

Persistent link: https://www.econbiz.de/10005704130

Production Planning and Inventories Optimization: A Backward Approach in the Convex Storage Cost Case.

Jouini, Elyès; Chazal, Marie; Tahraoui, Rabah - Université Paris-Dauphine - 2008

We study the deterministic optimization problem of a profit-maximizing firm which plans its sales/production schedule. The firm controls both its production and sales rates and knows the revenue associated to a given level of sales, as well as its production and storage costs. The revenue and...

Persistent link: https://www.econbiz.de/10008532670

Equilibrium Pricing Bound on Option Prices.

Jouini, Elyès; Chazal, Marie - Université Paris-Dauphine - 2008

Persistent link: https://www.econbiz.de/10008532688

Production Planning and Inventories Optimization : A Backward Approach in the Convex Storage Cost Case

Chazal, Marie; Jouini, Elyès; Tahraoui, Rabah - EconWPA - 2003

As in [1], we study the deterministic optimization problem of a profit- maximizing firm which plans its sales/production schedule. The firm knows the revenue associated to a given level of sales, as well as its production and storage costs. The revenue and the production cost are assumed to be...

Persistent link: https://www.econbiz.de/10005125650

Production planning and inventories optimization with a general storage cost function

Tharaoui, Rabah; Chazal, Marie; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003

We study the deterministic optimization problem of a profit-maximizing firm which plans its sales/production schedule. The Firm knows the revenue associated to a given level of sales, as well as its production and storage costs. The revenue and the production cost are assumed to be,...

Persistent link: https://www.econbiz.de/10010706642

Production Planning and Inventories Optimization: A Backward Approach in the Convex Storage Cost Case

Jouini, Elyès; Chazal, Marie; Tahraoui, Rabah - Université Paris-Dauphine (Paris IX) - 2008

We study the deterministic optimization problem of a profit-maximizing firm which plans its sales/production schedule. The firm controls both its production and sales rates and knows the revenue associated to a given level of sales, as well as its production and storage costs. The revenue and...

Persistent link: https://www.econbiz.de/10010707796