OPTIONS

作品数：314被引量：797H指数：13
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Retailers’ Order Strategies in Transshipments in Disruption Risks of Supply Chains
《Journal of Systems Science & Complexity》2018年第5期1273-1301,共29页SHU Tong YANG Xirui CHEN Shou WANG Shouyang LAI Kin Keung YANG Honglin 
supported by the National Natural Science Foundation of China under Grant Nos.71771080,71172194,71521061,71790593,71642006,71473155,71390335,71571065;Hunan Provincial Innovation Foundation for Postgraduate under Grant No.CX2016B078
This article investigates the order problem in a two-stage supply chain consisting of retail- ers, primary suppliers and backup suppliers. From retailers＇ perspectives, the optimal offering strategies in unidirection...
关键词：Capacity options disruption risks in supply chains dual sourcing purchase order strategies. 
Risk Management for International Portfolios with Basket Options:A Multi-Stage Stochastic Programming Approach被引量：4
《Journal of Systems Science & Complexity》2015年第6期1279-1306,共28页YIN Libo HAN Liyan 
the National Natural Science Foundation of the People’s Republic of China with financially funding under Grant Nos.71401193 and 71371022
The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic pr...
关键词：Basket options options applications portfolio optimization risk management stochastic programming 
DYNAMIC VALUATION OF OPTIONS ON NON-TRADED ASSETS AND TRADING STRATEGIES被引量：1
《Journal of Systems Science & Complexity》2013年第6期991-1001,共11页MI Hui ZHANG Shuguang 
supported by the National Basic Research Program of China(973 Program)under Grant No.2007CB814901;the National Natural Science Foundation of China under Grant Nos.11101215 and 61304065;the Program of Natural Science Research of Jiangsu Higher Education Institutions of China under GrantNo.12KJB110011
This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization framework.Under the assumption that the option can be ...
关键词：Non-traded asset option pricing portfolio selection stochastic control. 
A POISSON-GAUSSIAN MODEL TO PRICE EUROPEAN OPTIONS ON THE EXTREMUM OF SEVERAL RISKY ASSETS WITHIN THE HJM FRAMEWORK
《Journal of Systems Science & Complexity》2010年第4期769-783,共15页Guohe DENG Lihong HUANG 
Supported by the National Natural Science Foundation of China under Grant No. 40675023;the "985" Project of Hunan University;the Guangxi Natural Science Foundation under Grant No. 0991091
This paper generalizes European call options on the extremum of several risky assets in a Poisson-Gaussian model which allows both the risky assets and stochastic interest rates moving randomly with jump risks. The st...
关键词：Extremum options jump-diffusion model stochastic interest rate. 
THE EFFECTS OF CHANGING MARGIN LEVELS ON FUTURES OPTIONS PRICE
《Journal of Systems Science & Complexity》2006年第4期461-469,共9页Yanling GU School of Economics,Fudan University,Shanghai 200433 Post Doctoral of Program of Shanghai Futures Exchange,Shanghai 200122,China.Email:gu.yl@shfe.com.cn.Juan LI Department of Mathematics,Fudan University,Shanghai 200433 Department of Mathematics,Shandong Uni- 
This research is supported by Postdoctoral Science Foundation of Shanghai under Grant No.04R214206;Natural Science Foundation of ChiHa under Grallt No.10426022
The paper studies the effects of changing margin levels on the price of fixtures options and how to organize a market maker＇s position. Black model （1976） becomes a special case of this paper. The paper prices futu...
关键词：Backward stochastic differential equations futures options margin. 
QUANTUM THEORY FOR THE BINOMIAL MODEL IN FINANCE THEORY被引量：1
《Journal of Systems Science & Complexity》2004年第4期567-573,共7页CHENZeqian 
In this paper, a quantum model for the binomial market in finance is proposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unit ball of R^3, whose radius is a function of the ...
关键词：binomial markets quantum models maxwell-boltzmann statistics OPTIONS risk-neutral world 
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