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

Y. Zheng; H. Suito; H. Kawarada

doi:10.1515/jnum.2010.007

Published by De Gruyter June 21, 2010

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

Y. Zheng , H. Suito and H. Kawarada

From the journal Journal of Numerical Mathematics

https://doi.org/10.1515/jnum.2010.007

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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.

Keywords:: demand prediction; stochastic process; Newsboy problem; Black–Scholes model; loss evaluation

Received: 2009-08-19

Revised: 2010-01-18

Published Online: 2010-06-21

Published in Print: 2010-June

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

Abstract

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