Valuing fixed price supply contracts

DOI10.1016/0377-2217(94)90202-XMaRDI QIDQ1330547zbMATH OpenOpenAlexFDO

Authors Bardia Kamrad, Peter Ritchken

Publication date 21 July 1994

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-2217(94)90202-x

zbMATH Keywords

Wiener processesstochastic dynamic programmingarbitrarycontingent claims analysisapproximating latticesswitching production ratesItô's lemma

Mathematics Subject Classification ID

Dynamic programming (90C39) Production models (90B30) Microeconomic theory (price theory and economic markets) (91B24) Stochastic systems in control theory (general) (93E03)

Recommendations

• Flexible supply contracts under price uncertainty
• Flexible and risk-sharing supply contracts under price uncertainty
• The quantity flexibility contract and supplier-customer incentives
• Designing structured supply contracts under demand and price uncertainty in an open supply chain
• Analysis of supply contracts with quantity flexibility

Cites work

• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• Multinomial Approximating Models for Options with k State Variables

Cited in

(6)

• Price-only contracts with backup supply
• Single machine scheduling under market uncertainty
• The pricing of a supply contract under uncertainty with long-range dependence
• Take-or-pay contract valuation under price and private uncertainty
• Optimal supply contract selection
• Analysis of supply contracts with minimum total order quantity commitments and non-stationary demands

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