摘要
分析了在汇率波动服从几何布朗运动、制造型企业对其客户不可缺货的情况下,制造型企业原材料的多阶段最优国际订购策略.通过构造无风险投资组合的方法,建立了企业生产项目的价值的一般模型,应用二项式模型对其求解,并通过算例仿真验证了模型及解法的有效性.
Under the movement of exchange rate following geometric Brownian motion and no short supply of manufacturer to customer, the multi-stages optimal international order strategy of the manufacturer is analyzed. Firstly, the model of the value of manufacturing project is proposed by construction of riskless portfolio; then it is analyzed by binomial model; finally, a numerical example and its simulation are given to illustrate the application of the model and its algorithm.
出处
《上海理工大学学报》
EI
CAS
北大核心
2005年第5期385-388,共4页
Journal of University of Shanghai For Science and Technology
基金
国家自然科学基金资助项目(70372056)
关键词
数量柔性契约
项目价值
订购策略
quantity flexible contract
value of project
ordering strategy
