Valuing Flexibility as a Complex Option
提出一种用或有债权定价法评估柔性生产系统的方法，允许需求曲线向下倾斜、边际成本递增、多产品及产能约束，并通过对两产品系统的估值示例说明。
This paper develops an approach for valuing flexible production systems using contingent claims pricing. Demand curves for our model's underlying assets (output products) may be downward sloping, in contrast with the standard option pricing assumption. Also, our marginal production(exercise) costs may be increasing. In addition, we allow for multiple products and a production capacity constraint. These elements of the model result in complex exercise decisions for the contingent claims which comprise the production system's value. We illustrate our approach by valuing a flexible system that produces two products which have profit margin functions with stochastic parameters.