Output Decision Under Demand Uncertainty with Stochastic Production Function: A Contingent Claims Approach
用或有权利要求方法分析企业在技术和需求双重不确定性下的最优产出决策，发现利率、需求波动性和生产前置时间对最优产出和项目价值有复杂影响，对管理者有重要启示。
This paper presents a contingent claims analysis of output decisions for the firm facing technological and demand uncertainty. The paper reveals that: (i) the optimal output level increases with the higher interest rate when the firm is subject to demand (and technological) uncertainty; (ii) the effect of demand volatility and production lead time on the optimal output level could be either positive or negative; (iii) the optimal project value decreases with the higher demand volatility; (iv) the optimal project value decreases with the longer production lead time when the firm is subject to demand uncertainty; and (v) the optimal project value decreases with the higher interest rate when the firm is subject to demand uncertainty; it increases with the higher interest rate, however, when the firm is subject to both demand and technological uncertainty. Some important managerial implications are discussed.