大宗商品的供应链期权契约影响因素研究.pdfVIP

Indust rial Engineering and Management No . 5, 2008 2008 5 : 2008) 05003 04 赵金实, 王浣尘, 郑晓涛, 庞清武 ( 上海交通大学 安泰经济与管理学院, 上海 200030) : 供应链中大宗商品的期权定价通常采用BlackScholes 期权定价模型, 该模型没有考 虑资金时间成本现货价格波动风险和期权期限三方面因素对期权定价的影响所以在传统的供 应链期权契约模型基础上引进市场利率现货价格波动率和期权期限三个主要市场因素, 对供应链 期权契约模型进行扩展, 更符合现代经济情况对期权定价的要求经过模型推导进一步分析供应 商主导型供应链期权契约的决策机制, 计算出使供应链整体利润优化的供应商和零售商最优定价 策略和最优采购决策, 最后采用灵敏度分析的方法找到主要影响因素, 计算出影响程度 : 供应链; 期权; 市场因素; 协调机制 : F224 : A Research on Supply Chain Option Contract of Commodity ZHAO Jinshi, WAN G Huanchen, ZHEN G Xiaotao, PANG Qingw u ( Aetna College of Economics and M anagement, Shanghai Jiaotong University, Shanghai 200030, China) Abstract: T he options pricing of staple goods use BlackScholes method commonly. But this method did not concern the cost of capital, the risk of volatility of goods price and the expiration time of option. So the interest rates, volatility and expiration time need to be introduced in traditional supply chain option contract. T he decision model is built through analyzing the market and the decision mechanism . Finally the effect of market factors on the option contract w as analyzed, and the main impacts of supply chain performance w as found. Key words: supply chain; option; market factor; coordination mechanism 1 , Barnes ( 2002) , , Feng ( 2003) , , , Wu K leindorfer( 2005) , , ; ( 200 ) Feng ( 2003) ( 200 ) , : : : ( : ( 1973) , , , , , 3 I