教師資料查詢 | 類別: 會議論文 | 教師: 張紘炬 Horng-jinh Chang (瀏覽個人網頁)

標題:A Framework of Valuation for a Supply Contract under Uncertainty with Long-range Dependence
學年101
學期2
發表日期2013/05/18
作品名稱A Framework of Valuation for a Supply Contract under Uncertainty with Long-range Dependence
作品名稱(其他語言)
著者Chen, Po-Yuan; Chang, Horng-Jinh
作品所屬單位淡江大學管理科學學系
出版者新北市淡江大學
會議名稱The 2013 International Conference in Management Sciences and Decision Making=2013年管理科學與經營決策國際學術研討會
會議地點Tamsui, New Taipei City, Taiwan
摘要In a supply chain, a retailer could transfer demand uncertainty to its supplier by signing a supply contract, requiring the supplier to prepare more inventories to meet the retailer’s needs. When the retailer has a right to lock in the wholesale price via the supply contract, it owns a real option in the supply contract. In most cases, the predetermined price in the supply contract only comprises the supplier’s unit cost and unit margin profit. Real option value is often neglected.
As a result, wholesale price is undervalued. This paper aims to address the pricing problem by using a correlated stochastic model. We assume that the market demands are correlated in time horizons. There exist two echelons in the supply chain: the business market and the consumer market. The demands in the consumer market are assumed to follow a fractional Brownian motion. By using the fractional Ito formula, we could derive the analytical solution for the real option value, which is embedded in the supply contract. The result demonstrates that the higher the degree of autocorrelation in demand, the larger the real option value. As a consequence, the wholesale price determined in the supply contract without considering demand’s long-range dependence is significantly undervalued. In conclusion, the supplier should charge more for the wholesale price when the degree of autocorrelation in demand is higher.
關鍵字Supply Contract;Long-range Dependence;Fractional Brownian Motion;Real Option
語言英文
收錄於
會議性質國際
校內研討會地點淡水校園
研討會時間20130518~20130518
通訊作者
國別中華民國
公開徵稿Y
出版型式
出處Proceedings of the 2013 International Conference in Management Sciences and Decision Making=2013年管理科學與經營決策國際學術研討會論文集
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