“ Market and Process Risks in Production Opportunities: Demand and Yield Uncertainty ” Bardia Kamrad
نویسنده
چکیده
By adopting a real options framework, we develop and analyze a production based valuation model that jointly incorporates process and market risks. Given this setting, techniques of contingent claims analysis and stochastic control theory are employed to obtain value maximizing operating policies in a constrained capacity environment. In our analysis, adjustments to operating policies are analogously modeled as a sequence of complex (real) options whose optimal exercise maximizes their inherent flexibility value.
منابع مشابه
“ Market and Process Uncertainty in Operations ”
By adopting a real options framework, we develop and analyze a production control model that jointly incorporates process and market risks. In our model, process risk is typified by random yield variability while market risk is defined through demand uncertainty. The stochastic processes used to depict uncertainty in these state variables reflect a wide variety of distributional forms and are n...
متن کامل“market Risk and Process Uncertainty in Production Operations” Bardia Kamrad
By adopting a real options framework we develop a production control model that jointly incorporates process and market uncertainties. In this model, process uncertainty is defined by random fluctuations in the outputs’ yield and market risk through demand uncertainty for the output. In our approach, production outputs represent commodities or items for which financial contracts do not trade. O...
متن کاملEstimating demand by using sales information: inaccuracies encountered
Demand data is integral to a company s overall information requirement. This is particularly true for manufacturers and retailers with regard to capacity, production, and inventory planning. Notwithstanding the implicit inaccuracies encountered, companies are predisposed to employ sales data as a primary source of information for estimating future
متن کاملInnovation diffusion uncertainty, advertising and pricing policies
We develop and analyze a normative and structurally stochastic model of innovation diffusion by depicting the market at an aggregate level. Model dynamics are defined through the flow pattern of individuals that move from the innovation unaware stage, to the innovation aware, and ultimately to the adopter stages. The stochastic evolution of this stage-wise transition unfolds according to tracta...
متن کاملProbabilistic GENCOs Bidding Strategy in Restructured Two-Side Auction Power Markets
As a matter of course, power market uncertainties escalation is by product of power industry restructure on one hand and the unrivalled penetration of renewable energies on the other. Generally, the decision making process in such an uncertain environment faces with different risks. In addition, the performance of real power markets is very close to oligopoly markets, in which, some market play...
متن کامل