Validation of a demand forecasting method based on a stochastic process using real-world data

Y. Zheng, H. Suito, H. Kawarada

Research output: Contribution to journalArticle

Abstract

Demand-forecasting problems frequently arise in logistics and supply chain management. The Newsboy problem is one such problem. In this paper, we present an improved solution method by application of the Black-Scholes model incorporating a stochastic process used in financial engineering for option pricing. The proposed model is shown to be effective through numerical experiments using real-world data.

Original languageEnglish
Pages (from-to)143-156
Number of pages14
JournalJournal of Numerical Mathematics
Volume18
Issue number2
DOIs
Publication statusPublished - Jun 1 2010

Keywords

  • Black-scholes model
  • Demand prediction
  • Loss evaluation
  • Newsboy problem
  • Stochastic process

ASJC Scopus subject areas

  • Computational Mathematics

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