Evaluation of Risks in B2B Transactions using Real Option Approaches

摘要：

This paper deals with the evaluation of sales/purchase originated risks in B2B transactions using real option approaches and its applications. We assume that the model include the stochastic phenomena such as bankruptcy of business partners as well as the price changes of products. These kinds of risks inherited in transactions are able to be evaluated by solving Stochastic Differential Equations (SDE) similar to options for securities. However, it is very hard to obtain analytical results, then we use the Dynamic Programming approach equivalent to SDE solutions. To cope with realistic situations, we introduce also the diffusion processes including jumps in the stochastic models. Simulation results are used for evaluating option premium of trading companies in Japan.

关键词： Risk B2B Transactions Real Option Stochastic Differential Equations

作者: Jianjun LU Shozo TOKINAGA

作者单位: Collage of Economics and Management,China Agricultural University,Beijing 100083,China;School of Fin Graduate School of Economics,Kyushu University,Fukuoka,812-8581,Japan

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 241-244

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）