Search results for: Hsien-Jen Lin

Items from 1 to 6 out of 6 results

article

Investing in lead-time variability reduction in a collaborative vendor–buyer supply chain model with stochastic lead time

Hsien-Jen Lin

Computers & Operations Research > 2016 > 72 > C > 43-49

This study deals with investing in lead-time variability reduction problems for the integrated vendor–buyer supply chain system with partial backlogging under stochastic lead time. We consider that lead time variability can be reduced through further investment; more specifically, a logarithmic investment function is used that allows investment to be made to reduce lead-time variability. By using...

article

A stochastic periodic review inventory model with back-order discounts and ordering cost dependent on lead time for the mixtures of distributions

Hsien-Jen Lin

TOP > 2015 > 23 > 2 > 386-400

A mixture inventory system analyzed in this paper explores the problem that the lead time and ordering cost reductions are inter-dependent in a periodic review inventory model with back-order price discounts for protection interval demand with the mixture of normal distributions. The objectives of this paper are twofold. First, we want to correct and improve the recently studied model by optimizing...

article

Reducing lost-sales rate on the stochastic inventory model with defective goods for the mixtures of distributions

Hsien-Jen Lin

Applied Mathematical Modelling > 2013 > 37 > 5 > 3296-3306

In this paper, we assume that the demands of different customers are not identical in the lead time. Thus, we investigate a continuous review inventory model involving controllable lead time and a random number of defective goods in buyer’s arriving order lot with partial lost sales for the mixtures of distributions of the lead time demand to accommodate more practical features of the real inventory...

article

Hedging processes for catastrophe options

Hsien-Jen Lin

Journal of the Korean Statistical Society > 2012 > 41 > 4 > 491-504

This paper considers the problem of pricing and hedging of certain catastrophe (CAT) options. In particular, a self-financing hedging strategy that minimizes the risk in the loss period and replicates the option in the development period is proposed.

article

Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump

Ching-Sung Chou, Hsien-Jen Lin

Statistics and Probability Letters > 2007 > 77 > 5 > 475-482

This paper is concerned with finding the distribution of a squared Bessel process run for an exponentially distributed time and applying this result to find the price of a zero coupon bond at time zero when the pricing model involves a squared Bessel interest process and there is one jump.

article

Asian options with jumps

Ching-Sung Chou, Hsien-Jen Lin

Statistics and Probability Letters > 2006 > 76 > 18 > 1983-1993

The paper is concerned with the computation of Asian options when the underlying asset has a jump. In the Black and Scholes model, Geman and Yor give a closed-form of formula for the price of an Asian option at a random exponential distributed maturity (it then “suffices” to invert the Laplace transform to have the price at a fixed time). The aim of this paper is to obtain such a formula in a model...

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Search results for: Hsien-Jen Lin

Investing in lead-time variability reduction in a collaborative vendor–buyer supply chain model with stochastic lead time

A stochastic periodic review inventory model with back-order discounts and ordering cost dependent on lead time for the mixtures of distributions

Reducing lost-sales rate on the stochastic inventory model with defective goods for the mixtures of distributions

Hedging processes for catastrophe options

Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump

Asian options with jumps

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