A market-based martingale valuation approach to optimum inventory control in a doubly stochastic jump-diffusion economy
Author:
Affiliation:
1. Department of Finance and LawCalifornia State University Los Angeles USA
2. Department of FinanceCalifornia State University Fullerton USA
3. Department of ManagementCalifornia State University Los Angeles USA
Publisher
Informa UK Limited
Subject
Marketing,Management Science and Operations Research,Strategy and Management,Management Information Systems
Link
http://link.springer.com/content/pdf/10.1057/jors.2014.4.pdf
Reference34 articles.
1. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
2. Optimality Criteria and Risk in Inventory Models: The Case of the Newsboy Problem
3. On Jumps in Common Stock Prices and Their Impact on Call Option Pricing
4. Optimal Inventory Policies when Purchase Price and Demand Are Stochastic
5. The Effects of Financial Risks on Inventory Policy
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