%0 Conference Proceedings
%T Put Option Contracts in Newsvendor Model with Bankruptcy Risk
%+ Centre de recherche en économie et management (CREM)
%+ Systèmes Logistiques et de Production (LS2N - équipe SLP  )
%+ Département Automatique, Productique et Informatique (IMT Atlantique - DAPI)
%A Hedayatinia, Pooya
%A Lemoine, David
%A Massonnet, Guillaume
%A Viviani, Jean-Laurent
%< avec comité de lecture
%( IFIP Advances in Information and Communication Technology
%B APMS 2021: IFIP International Conference on Advances in Production Management Systems
%C Nantes, France
%Y Alexandre Dolgui
%Y Alain Bernard
%Y David Lemoine
%Y Gregor von Cieminski
%Y David Romero
%I Springer International Publishing
%3 IFIP WG 5.7 International Conference, APMS 2021, Advances in Production Management Systems. Artificial Intelligence for Sustainable and Resilient Production Systems
%V AICT-632
%P 167-174
%8 2021-09-05
%D 2021
%R 10.1007/978-3-030-85906-0_19
%K Newsvendor
%K Finance
%K Bankruptcy
%K Put option contracts
%Z Computer Science [cs]
%Z Computer Science [cs]/Operations Research [math.OC]Conference papers
%X 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.
%G English
%Z TC5
%Z WG 5,7
%2 https://hal.science/hal-03337506/document
%2 https://hal.science/hal-03337506/file/520759_1_En_19_Chapter.pdf
%L hal-03337506
%U https://hal.science/hal-03337506
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%~ UNIV-NANTES
%~ INSTITUT-TELECOM
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%~ CNRS
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%~ UNAM
%~ IFIP
%~ IFIP-AICT
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%~ IFIP-TC5
%~ IFIP-WG
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%~ IFIP-AICT-632