English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51491/86611 (59%)
Visitors : 8252414      Online Users : 91
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/99121


    Title: The pricing of a Supply Contract under Uncertainty with Long-Range Dependence
    Authors: Chen, Po-Yuan;Chang, Horng Jinh
    Contributors: 淡江大學管理科學學系
    Keywords: Supply contract;uncertainty;fractional Brownian motion;autocorrelation
    Date: 2014-03-01
    Issue Date: 2014-10-15 14:27:29 (UTC+8)
    Publisher: 新北市:淡江大學管理科學學系
    Abstract: This paper aims to address a contracting problem between upstream and downstream agents in a supply chain using a stochastic demand process with autocorrelation properties. For example, the quarterly global sales volumes of Apple's iPhone are highly autocorrelated over time although the time lag is as long as 10 quarters. Based on such empirical evidence, an autocorrelated demand process referred to as fractional Brownian motion is adopted in this paper. It is assumed that there are two echelons in the supply chain: business and consumer markets. The information flows fall into four categories: demand flow, marketing info flow, uncertainty flow, and premium charge flow. The downstream agent can transfer demand uncertainty to the upstream firm (uncertainty flow) by signing a supply contract (contracting agent). The demand in the consumer market is assumed to follow a fractional Brownian motion. Based on the fractional Ito formula for the real option model, the result demonstrates that the real option value can be an increasing or decreasing function of the degree of autocorrelation in which the real option value reaches its maximum at the critical point. As a consequence, the trading price determined in the supply contract without considering the autocorrelation of demand could be significantly undervalued or overvalued. In other words, to ensure a fair game in a contracting activity, the upstream agent should charge more for the trading price depending on the degree of autocorrelation in demand.
    Relation: International Journal of Information and Management Sciences 25(1), pp.35-49
    Appears in Collections:[管理科學學系暨研究所] 期刊論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML121View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback