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There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
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The valuation of financial options, as is well known, is based on the recognition that an option's payouts can be replicated by a trading program that "manufactures" an equivalent payout distribution from an initial infusion of cash equal to the value of the option. One may in fact develop a quite satisfactory and practical theory of options pricing based on an optimization formulation of this replication model as a multiperiod stochastic production-inventory problem. This talk will explore how this optimization-based valuation approach may be extended to
the valuation and management of risky supply chain contracts.
