The pricing of a Supply Contract under Uncertainty with Long-Range Dependence
學年 102
學期 2
出版（發表）日期 2014-03-01
作品名稱 The pricing of 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
單位 淡江大學管理科學學系
出版者 新北市：淡江大學管理科學學系
著錄名稱、卷期、頁數 International Journal of Information and Management Sciences 25(1), pp.35-49
摘要 This paper aims to address a contracting problem between upstream and downstream agents in a supply chain using a stochastic demand process with autocorrelation properties. For example, the quarterly global sales volumes of Apple's iPhone are highly autocorrelated over time although the time lag is as long as 10 quarters. Based on such empirical evidence, an autocorrelated demand process referred to as fractional Brownian motion is adopted in this paper. It is assumed that there are two echelons in the supply chain: business and consumer markets. The information flows fall into four categories: demand flow, marketing info flow, uncertainty flow, and premium charge flow. The downstream agent can transfer demand uncertainty to the upstream firm (uncertainty flow) by signing a supply contract (contracting agent). The demand in the consumer market is assumed to follow a fractional Brownian motion. Based on the fractional Ito formula for the real option model, the result demonstrates that the real option value can be an increasing or decreasing function of the degree of autocorrelation in which the real option value reaches its maximum at the critical point. As a consequence, the trading price determined in the supply contract without considering the autocorrelation of demand could be significantly undervalued or overvalued. In other words, to ensure a fair game in a contracting activity, the upstream agent should charge more for the trading price depending on the degree of autocorrelation in demand.
關鍵字 Supply contract; uncertainty; fractional Brownian motion; autocorrelation
語言 en
ISSN 1017-1819
期刊性質 國際
收錄於 EI
產學合作
通訊作者
審稿制度 是
國別 TWN
公開徵稿
出版型式 紙本
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