|
Abstract:
|
This
paper
analyses
how
to
benefit
from
discount-off-of-market
price
option
contracts
to
increase
supply
chain
efficiency
when
demand
and
spot
price
are
random.
To
do
so,
a
portfolio
of
these
contracts
and
a
fixed
contract
would
be
considered
to
do
the
theoretical
and
practical
approaches.
First
of
all,
a
single-period
portfolio
procurement
problem
will
be
developed
and
a
model
that
describes
the
event
will
be
constructed.
After
that,
this
model
will
be
solved
using
a
geometrical
approach,
as
in
Fu
et
al.
(2010),
and
a
shortest-
monotone
path
algorithm.
Furthermore,
some
analysis
will
be
done
to
analyse
the
effect
of
volatility
of
spot
price
and
demand;
the
effect
of
correlation
and
the
effect
of
using
a
portfolio
instead
of
using
only
one
or
two
contracts.
Additionally,
a
two-period
extension
will
also
be
analysed.
Finally,
a
practical
study
would
be
carried
to
unveil
the
real
practicality
and
usefulness
of
discount-off-of-market
price
option
contracts. |
