Abstract
This paper studies a newsvendor problem in which the retailer can mix two contracts, a wholesale price and a put option contract. We consider that the newsvendor is financially constrained and may need to contract a loan to cover her ordering costs, with a probability that she becomes bankrupted. We show that when a put option contract is available, the retailer’s order quantity increases, while the bankruptcy risk and therefore the loan’s interest rate decrease. We illustrate these results with numerical experiments on a simple example for different demand sizes and variability.
This work was partially supported by the French National Research Agency and this is the project ANR-17-CE10-0001-01 called FILEAS FOG.
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Hedayatinia, P., Lemoine, D., Massonnet, G., Viviani, JL. (2021). Put Option Contracts in Newsvendor Model with Bankruptcy Risk. In: Dolgui, A., Bernard, A., Lemoine, D., von Cieminski, G., Romero, D. (eds) Advances in Production Management Systems. Artificial Intelligence for Sustainable and Resilient Production Systems. APMS 2021. IFIP Advances in Information and Communication Technology, vol 632. Springer, Cham. https://doi.org/10.1007/978-3-030-85906-0_19
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DOI: https://doi.org/10.1007/978-3-030-85906-0_19
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