Martingale methods for pricing inventory penalties under continuous replenishment and compound renewal demands

Keyphrases

• Underage 100%
• Continuous Replenishment 100%
• Martingale Method 100%
• Overaging 100%
• Production-inventory System 50%
• Penalty Function 50%
• Replenishment Rate 50%
• Inter-arrival Time 50%
• Risk-neutral Valuation 50%
• Perpetual American Option 50%
• Martingale Problem 50%
• Poisson Process 50%
• Inventory Process 50%
• Pricing Approach 50%
• Martingale Process 50%

Mathematics

• Explicit Expression 100%
• Interarrival Time 100%
• American Option 100%