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Conference Papers Year : 2021

Put Option Contracts in Newsvendor Model with Bankruptcy Risk

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.
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hal-03337506 , version 1 (18-07-2023)

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Pooya Hedayatinia, David Lemoine, Guillaume Massonnet, Jean-Laurent Viviani. Put Option Contracts in Newsvendor Model with Bankruptcy Risk. APMS 2021: IFIP International Conference on Advances in Production Management Systems, Sep 2021, Nantes, France. pp.167-174, ⟨10.1007/978-3-030-85906-0_19⟩. ⟨hal-03337506⟩
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