User profiles for Peter H. Ritchken
Peter RitchkenProfessor Verified email at case.edu Cited by 6161 |
Competition and diversification effects in supply chains with supplier default risk
…, AN Burnetas, PH Ritchken - Manufacturing & Service …, 2007 - pubsonline.informs.org
We study the effects of disruption risk in a supply chain where one retailer deals with competing
risky suppliers who may default during their production lead times. The suppliers, who …
risky suppliers who may default during their production lead times. The suppliers, who …
On pricing barrier options
PH Ritchken - The J. of Derivatives, 1995 - papers.ssrn.com
Pricing and hedging barrier options using a binomial lattice can be quite delicate. If the barrier
is not constant, or if there are multiple barriers, then in all likelihood binomial lattices will …
is not constant, or if there are multiple barriers, then in all likelihood binomial lattices will …
Monitoring and controlling bank risk: Does risky debt help?
CNV Krishnan, PH Ritchken… - The Journal of …, 2005 - Wiley Online Library
We examine whether mandating banks to issue subordinated debt would enhance market
monitoring and control risk taking. To evaluate whether subordinated debt enhances risk …
monitoring and control risk taking. To evaluate whether subordinated debt enhances risk …
Contingent claims contracting for purchasing decisions in inventory management
PH Ritchken, CS Tapiero - Operations research, 1986 - pubsonline.informs.org
Option pricing is a common and important practice in the financial community, and has become
a fundamental theoretical construct in financial economics. The theory is quite rich and …
a fundamental theoretical construct in financial economics. The theory is quite rich and …
On option pricing bounds
PH Ritchken - The Journal of Finance, 1985 - Wiley Online Library
The purpose of this article is to compare the Perrakis and Ryan bounds of option prices in a
single‐period model with option bounds derived using linear programming. It is shown that …
single‐period model with option bounds derived using linear programming. It is shown that …
Option bounds with finite revision opportunities
PH Ritchken, S Kuo - The Journal of Finance, 1988 - Wiley Online Library
This article generalizes the single‐period linear‐programming bounds on option prices by
allowing for a finite number of revision opportunities. It is shown that, in an incomplete market, …
allowing for a finite number of revision opportunities. It is shown that, in an incomplete market, …
Jump starting GARCH: Pricing and hedging options with jumps in returns and volatilities
JC Duan, PH Ritchken, Z Sun - 2006 - papers.ssrn.com
This paper considers the pricing of options when there are jumps in the pricing kernel and
correlated jumps in asset returns and volatilities. Our model nests Duan's GARCH option …
correlated jumps in asset returns and volatilities. Our model nests Duan's GARCH option …
Predicting credit spreads
CNV Krishnan, PH Ritchken, JB Thomson - Journal of Financial …, 2010 - Elsevier
Predictions of firm-level credit spreads based on the current spot and forward credit spreads
can be significantly improved upon by using the information contained in the shape of the …
can be significantly improved upon by using the information contained in the shape of the …
Reliability, pricing and quality control
CS Tapiero, PH Ritchken, A Reisman - European Journal of Operational …, 1987 - Elsevier
The purpose of this paper is to construct a theoretical framework which allows a manufacturer
to examine the tradeoffs between pricing, reliability, design and quality control issues. In …
to examine the tradeoffs between pricing, reliability, design and quality control issues. In …
Warranty design under buyer and seller risk aversion
PH Ritchken, CS Tapiero - Naval Research Logistics Quarterly, 1986 - Wiley Online Library
This paper provides a framework in which warranty policies for non‐repairable items can be
evaluated according to risk preferences of both buyers and sellers. In particular, a warranty …
evaluated according to risk preferences of both buyers and sellers. In particular, a warranty …