Put Option Contracts in Newsvendor Model with Bankruptcy Risk

2021 ◽  
pp. 167-174
Author(s):  
Pooya Hedayatinia ◽  
David Lemoine ◽  
Guillaume Massonnet ◽  
Jean-Laurent Viviani
Keyword(s):  
Newsvendor Model ◽  
Bankruptcy Risk ◽  
Option Contracts ◽  
Put Option

scholarly journals PENENTUAN HARGA KONTRAK OPSI KOMODITAS EMAS MENGGUNAKAN METODE POHON BINOMIAL

2017 ◽  
Vol 6 (2) ◽  
pp. 99
Author(s):  
I GEDE RENDIAWAN ADI BRATHA ◽  
KOMANG DHARMAWAN ◽  
NI LUH PUTU SUCIPTAWATI
Keyword(s):  
Option Prices ◽  
European Option ◽  
Binomial Tree ◽  
Call Options ◽  
Option Contracts ◽  
Put Option ◽  
Black Scholes ◽  
Tree Method

Holding option contracts are considered as a new way to invest. In pricing the option contracts, an investor can apply the binomial tree method. The aim of this paper is to present how the European option contracts are calculated using binomial tree method with some different choices of strike prices. Then, the results are compared with the Black-Scholes method. The results obtained show the prices of call options contracts of European type calculated by the binomial tree method tends to be cheaper compared with the price of that calculated by the Black-Scholes method. In contrast to the put option prices, the prices calculated by the binomial tree method are slightly more expensive.

scholarly journals Analysis of the Risk Management Properties of Grazing Contracts Versus Futures and Option Contracts

1996 ◽  
Vol 28 (2) ◽  
pp. 247-262 ◽  
Author(s):  
R. Wes Harrison ◽  
Barry W. Bobst ◽  
Fred J. Benson ◽  
Lee Meyer
Keyword(s):  
Risk Management ◽  
Stochastic Dominance ◽  
Risk Averse ◽  
Integrated Production ◽  
Feeder Cattle ◽  
Option Contracts ◽  
Put Option ◽  
Price Risks

AbstractA stochastic budget simulator and generalized stochastic dominance are used to compare the risk management properties of grazing contracts to futures and option contracts. The results show that the risks of backgrounding feeder cattle are reduced significantly for pasture owners in a grazing contract. However, the risks of the cattle owner in a grazing contract are not significantly reduced. The results also show that generally risk averse pasture owners prefer grazing contracts to integrated production when traditional hedging is used to manage price risks. In addition, grazing contracts compare favorably with put option contracts for some pasture owners.

Supply chain coordination with put option contracts and customer returns

2019 ◽  
Vol 71 (6) ◽  
pp. 1003-1019
Author(s):  
Chong Wang ◽  
Jing Chen ◽  
Lili Wang ◽  
Jiarong Luo
Keyword(s):  
Supply Chain ◽  
Supply Chain Coordination ◽  
Option Contracts ◽  
Put Option ◽  
Customer Returns

Using put option contracts in supply chains to manage demand and supply uncertainty

2018 ◽  
Vol 118 (7) ◽  
pp. 1477-1497 ◽  
Author(s):  
Jiarong Luo ◽  
Xiaolin Zhang ◽  
Chong Wang
Keyword(s):  
Supply Chain ◽  
Supply Chain Coordination ◽  
Optimization Theory ◽  
Random Yield ◽  
Supply Uncertainty ◽  
Inventory Theory ◽  
Content Type ◽  
Put Options ◽  
Option Contracts ◽  
Put Option

Purpose The purpose of this paper is to value put option contracts in hedging the risks in a supply chain consisting of a component supplier with random yield and a manufacturer facing stochastic demand for end products. Design/methodology/approach This paper adopts stochastic inventory theory, game theory, optimization theory and algorithm and MATLAB numerical simulation to investigate the manufacturer’s ordering and the supplier’s production strategies, and to study the coordination and optimization strategies in the context of random yield and demand. Findings The authors find that put options can not only facilitate the manufacturer’s order but also the supplier’s production, that is, the manufacturer and the supplier can effectively manage their involved risks and earn more expected profits by adopting put options. Further, the authors find that the single put option contract fails to coordinate such a supply chain. However, when combined with a protocol, it is able to coordinate the supply chain. Originality/value This paper is the first effort to study the intersection of put option contracts and random yield in the presence of a spot market. From a new perspective, the authors explore the supply chain coordination. The authors propose a mechanism to coordinate the supply chain under put option contracts.

Pricing a European Put Option by Numerical Methods

2019 ◽  
Vol 9 (11) ◽  
pp. p9575
Author(s):  
George Korir Kiprop ◽  
Kenneth Kiprotich Langat
Keyword(s):  
Numerical Methods ◽  
Put Option
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