Proceedings of the Annual Conference of the Institute of Systems, Control and Information Engineers
The 46th Annual Conference of the Institute of Systems, Control and Information Engineers
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Study on Production Planning based on Financial Options and VaR
Taketoshi Yoshida
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Pages 73

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Abstract
The purpose of this paper is to evaluate the value of a manufacturing order where the market price of a product is fluctuating randomly. Applying the Black-Scholes equation, we show the replicating assets of the manufacturing order. In addition we show how to simulate the market price of a product then propose the analysis method which is based on the value at risk(VaR).
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© 2002 The Institute of Systems, Control and Information Engineers
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