A Stochastic Control Model for the Average Price of Manufacturer Sales on Commodity Exchanges


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Resumo

We propose an approach for controlling the weighted average price of a manufacturers sales on commodity exchanges. This problem is highly relevant due to the need for the manufacturer to hedge their profits in case of a sharp drop in market prices. We consider applications of the proposed control to executing trading operations on real commodity exchanges in order to demonstrate its efficiency.

Sobre autores

S. Vavilov

St. Petersburg State University

Autor responsável pela correspondência
Email: savavilov@inbox.ru
Rússia, St. Petersburg

K. Kuznetsov

St. Petersburg State University

Autor responsável pela correspondência
Email: kostas.92@mail.ru
Rússia, St. Petersburg

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