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 JMF  Vol.3 No.2 A , April 2013
Investment Reluctance in Supply Chains: An Agent-Based Real Options Approach
Abstract: This paper shows how agent-based stochastic approaches can provide a complementary and more flexible approach to study investment incentives and price dynamics in a real options framework. We particularly study the case of two-stage production chains in which one sector produces an intermediate product and the other the final product, and the intermediate product is traded on the spot market. An agent-based competitive model using a genetic algorithm allows us to explicitly model the behaviors and interactions of the firms competing in each subsector and trading the intermediate product with each other on a spot market, and optimal investment strategies can be identified.
Cite this paper: A. Balmann, K. Kataria and O. Musshoff, "Investment Reluctance in Supply Chains: An Agent-Based Real Options Approach," Journal of Mathematical Finance, Vol. 3 No. 2, 2013, pp. 1-10. doi: 10.4236/jmf.2013.32A001.
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