Stochastic programming and the option of doing it differently

被引:18
作者
Wallace, Stein W. [1 ]
机构
[1] Univ Lancaster, Sch Management, Dept Management Sci, Lancaster LA1 4YX, England
基金
英国工程与自然科学研究理事会;
关键词
Programming: Stochastic; Relations to option theory; SENSITIVITY-ANALYSIS; UNCERTAINTY;
D O I
10.1007/s10479-009-0600-x
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
Option theory and stochastic programming are tightly linked. Most options can be analyzed in both frameworks, and the two approaches support each other in many slightly more complex situations. But this similarity hides some central differences in perspective. This short note tries to focus on one of these, namely the fact that option theory can be applied only to options already identified, while stochastic programming is able to help us find options in contexts where it is not at all clear what they are, and where finding might be more important than valuing.
引用
收藏
页码:3 / 8
页数:6
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