【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。首先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;然后应用二项式模型对其求解;最后通过算例仿真验证了模型及解法的有效性。更多还原

【Abstract】 Under the movement of exchange rate following geometric Brownian motion and short supply of manufacturer to the customer, the multi-stage 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.更多还原