Option Methods for Incorporating Risk into Linear Capacity Planning Models
Published Online:1 Jan 2000https://doi.org/10.1287/msom.2.1.19.23269
References
- A capital budgeting model for product-mix flexibility. J. of Manufacturing Oper Management (1990) 3:5–23Google Scholar
- Math. Programming (1996) 75:327–352Crossref, Google Scholar
- Introduction to Stochastic Programming (1997) (Springer-Verlag, New York) Google Scholar
- Designing approximation schemes for stochastic optimization problems, in particular, for stochastic programs with recourse. Math. Programming Study (1986) 27:54–102Crossref, Google Scholar
- The pricing of options and corporate liabilities. J. of Political Economy (1973) 81:737–654Crossref, Google Scholar
- Market risk adjustment in project valuation. J. of Finance (1978) 33:603–616Crossref, Google Scholar
- The valuation of options for alternative stochastic processes. J. of Financial Economics (1976) 3:145–166Crossref, Google Scholar
- Option pricing: a simplified approach. J. of Financial Economics (1979) 7:229–263Crossref, Google Scholar
- On stochastic programming II: Dynamic problems under risk. Stochastics (1988) 25:15–42Crossref, Google Scholar
- Investment under Uncertainty (1994) (Princeton University Press, Princeton, NJ) Crossref, Google Scholar
- Dynamic Asset Pricing (1992) (Princeton University Press, Princeton, NJ) Google Scholar
- A scenario approach to capacity planning. Oper. Res. (1989) 37:517–527Link, Google Scholar
- Investments in flexible production capacity. J. Econom. Dynam. Control (1992) 16:575–599Crossref, Google Scholar
- Valuing operational flexibility under exchange rate risk. Oper. Res. (1996) 44:100–113Link, Google Scholar
- Options, Futures, and Other Derivative Securities (1997) (Prentice-Hall, Englewood Cliffs, NJ) Google Scholar
- International Business Machines CorpOptimization Subroutine Libary Guide and Reference, Release 2 (1991) (International Business Machines Corp 1, Yorktown Heights, NY) . Document SC23-0519-02Google Scholar
- Option Pricing (1983) (Irwin, Homewood, Illinois) Google Scholar
- Principles on the benefits of manufacturing process flexibility (1991) (General Motors Research Laboratories, Warren, Michigan) . Technical Report GMR-7310Google Scholar
- Principles on the benefits of manufacturing process flexibility. Management Sci. (1995) 41:577–594Link, Google Scholar
- Production, operating risk and market uncertainty: A valuation perspective on controlled policies. IIE Transactions (1998) 30:455–468Crossref, Google Scholar
- Valuing fixed price supply contracts. European J. of Operational Res. (1994) 74:50–60Crossref, Google Scholar
- On the pricing of contingent claims under constraints. Annals of Appl. Probab. (1996) 6:321–369Crossref, Google Scholar
- Decisions with Multiple Objectives: Preferences and Value Trade-offs (1976) (Wiley, New York) Google Scholar
- Multistage stochastic programs with block-separable recourse. Math. Programming Study (1986) 28:48–62Crossref, Google Scholar
- Time to build, option value, and investment decisions. J. of Financial Economics (1987) 18:7–27Crossref, Google Scholar
- Investment and the valuation of firms when there is an option to shut down. Internat. Econom. Rev. (1985) 26:331–349Crossref, Google Scholar
- An intertemporal capital asset pricing model. Econometrica (1973) 41:867–887Crossref, Google Scholar
- Finance theory and financial strategy. Interfaces (1984) 14(1):126–137Link, Google Scholar
- Capital asset prices: a theory of market equilibrium under conditions of risk. J. of Finance (1964) 19:425–442Google Scholar
- Use of a stochastic capacity planning model to find the optimal level of flexibility for a manufacturing system. Senior Design Project (1992) (Department of Industrial and Operations Engineering, University of Michigan, Ann Arbor, MI) Google Scholar
- Inventories, risk, and the value of the firm. J. of Manufacturing and Oper. Management (1998) 1:4–43Google Scholar
- Valuing risky projects: Option pricing theory and decision analysis. Management Sci. (1995) 41:795–816Link, Google Scholar
- Valuing managerial flexibility. J. of Finance (1990) 45:549–565Crossref, Google Scholar
- Trigeorgis L.Real Options in Capital Investment: Models, Strategies, and Applications (1995) (Praeger, Westport, CT, London)Google Scholar
- Real Options: Managerial Flexibility and Strategy in Resource Allocation (1996) (MIT Press, Cambridge, MA) Google Scholar
- Investment strategies for flexible resources. Management Sci. (1998) 44:1071–1078Link, Google Scholar
- , Dempster M. A. H. Stochastic multipliers, induced feasibility and nonanticipativity in stochastic programming. Stochastic Programming (1980) (Academic Press, New York) Google Scholar

