Pricing Bermudan Option with Variable Transaction Costs under the Information-Based Model

The Bermudan option pricing problem with variable transaction costs is considered for a risky asset whose price process is derived under the information-based model. The price is formulated as the value function of an optimal stopping problem, which is the value function of a stochastic control problem given by a non-linear second order partial differential equation. The theory of viscosity solutions is applied to solve the stochastic control problem such that the value function is also the solution of the corresponding Bellman equation. Under some regularity assumptions, the existence and uniqueness of the solution of the pricing equation are derived by the application of the Perron method and Banach Fixed Point theorem.

Supply Chain Cooperation between Coal Enterprise and Electric Power Enterprise in China

Based on the two-stage Stackelberg game method, value creation of supply chain cooperation between coal enterprise and power utilities is studied by formulating profit functions of coal and power enterprises and calculating the maximum profit. According to the analysis, it is found that the profit from supply chain cooperation between coal and power enterprises is more than that of non- cooperation. The cooperation is validated to be beneficial for both units; however, the profit is mainly taken by the power enterprise. Thus, it is necessary to set up the incentive mechanism to distribute cooperation value between coal and power enterprises to promote their continual cooperation.

Research on a Distribution Center Location Model Based on a Particle Swarm Optimization Algorithm

Logistics is supposed to be the important source of profits for the enterprises besides reducing material consumption and improving labor productivity. Transportation costs, distribution center construction costs, ordering costs, safe inventory costs and inventory holding costs are the important parts of the total logistics costs. In this paper, based on the research results of LMRP（ location model of risk pooling） location with fixed construction cost, the LMRPVCC （ location model of risk pooling based on variable construction cost） will be introduced. Applying particle swarm optimization to several computational instances, the authors find the suboptimum solution of the model.

An EPQ model with variable production,probabilistic deterioration and partial backlogging under inflation

This paper develops an economic production quantity(EPQ)model under the effect of inflation and time value of money.The rate of replenishment is considered to be a variable and the generalized unit production cost function is formulated by incorporating several factors,such as raw material,labour,replenishment rate,advertisements and other factors of the manufacturing system.The selling price of a unit is determined by a mark-up over the production cost.We have considered three types of continuous probabilistic deterioration function,and also considered that the holding cost of the item per unit time is assumed to be an increasing linear function of time spent in storage.In addition,shortages are allowed and partially backlogged.This model aids in minimizing the total inventory cost by finding the optimal cycle length and the optimal production quantity.The optimal solution of the model is illustrated with the help of numerical examples.

Optimization design of anti-seismic engineering measures for intake tower based on non-dominated sorting genetic algorithm-Ⅱ

High-rise intake towers in high-intensity seismic areas are prone to structural safety problems under vibration.Therefore,effective and low-cost anti-seismic engineering measures must be designed for protection.An intake tower in northwest China was considered the research object,and its natural vibration characteristics and dynamic response were first analyzed using the mode decomposition response spectrum method based on a three-dimensional finite element model.The non-dominated sorting genetic algorithm-II(NSGA-II)was adopted to optimize the anti-seismic scheme combination by comprehensively considering the dynamic tower response and variable project cost.Finally,the rationality of the original intake tower antiseismic design scheme was evaluated according to the obtained optimal solution set,and recommendations for improvement were proposed.The method adopted in this study may provide significant references for designing anti-seismic measures for high-rise structures such as intake towers located in high-intensity earthquake areas.

Partial backlogging inventory model with price and stock level dependent demand,time varying holding cost and quantity discounts

This article deals with an increasing total profit for inventory optimal ordered quantity and partial backlogging with the holding cost depending on the storage time period,and the rate of market demand is assumed to fluctuate as a function,based on level of stock and selling price.Thereafter,using the concept of a Hessian matrix,we have proved the concave nature of the profit function for the case where maximum cost is obtained.Finally,in order to validate the derived models,numerical examples and sensitivity analysis are explained.Through numerical test,we show that the proposed algorithms give quite satisfactory solutions.Hence,it can be concluded that the total profit can be increased by allowing shortage and partial backlogging.