Real options approach for fashionable and perishable products using stock loan with regime switching
作者: Chun-Hung ChiuShui-Hung HouXun LiWei Liu
作者单位: 1Sun Yat-sen University
2The Hong Kong Polytechnic University
刊名: Annals of Operations Research, 2017, Vol.257 (1-2), pp.357-377
来源数据库: Springer Journal
DOI: 10.1007/s10479-015-1887-4
关键词: Stock loanRegime switchingVariational inequalityReal optionsRisk managementRevenue management
英文摘要: We use the real options approach to study the discount price and the optimal call-back time of a recallable air ticket, and the optimal launch time for a fashion product. Two types of uncertainty are considered, the demand uncertainty and the uncertainty of the switch time of the market condition. We propose that the problems can be formulated as a financial stock loan with regime switching and finite maturity. We formulate the stock loan as an American call options with a time-varying strike price. First, we derive the approximate valuation of the stock loan. Then, we formulate the recallable air ticket problem and the launch time of fashion product problem as two different stock loans. The analyses show that a higher (exogenous) regime-switching rate leads to a higher value for the call...
原始语种摘要: We use the real options approach to study the discount price and the optimal call-back time of a recallable air ticket, and the optimal launch time for a fashion product. Two types of uncertainty are considered, the demand uncertainty and the uncertainty of the switch time of the market condition. We propose that the problems can be formulated as a financial stock loan with regime switching and finite maturity. We formulate the stock loan as an American call options with a time-varying strike price. First, we derive the approximate valuation of the stock loan. Then, we formulate the recallable air ticket problem and the launch time of fashion product problem as two different stock loans. The analyses show that a higher (exogenous) regime-switching rate leads to a higher value for the call...
全文获取路径: Springer  (合作)
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来源刊物:
影响因子:1.029 (2012)

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关键词翻译
关键词翻译
  • options 保留购买权
  • stock 岩株
  • perishable 易腐烂的
  • approach 
  • regime 状况
  • uncertainty 不定
  • fashionable 流行
  • products 制品
  • management 管理
  • recallable 可撤销的