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Optimal Option Ordering and Pricing Decisions With Capital Constraint and Default Risk.
Baofeng Zhang
Desheng Dash Wu
Liang Liang
Published in:
IEEE Syst. J. (2017)
Keyphrases
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decision making
inventory policy
decision makers
option pricing
dynamic programming
worst case
risk management
optimal pricing
risk measures
conditional expectation
approximately optimal
risk neutral
linear constraints
optimal control
high risk
risk factors
optimal capacity
operational risk
decision support system