基于三叉树期权理论的铁路货运定价模型.docxVIP

第 14 卷 第 4 期 2014 年 8 月 交通运输系统工程与信息 Journal of Transportation Systems Engineering and Information Technology Vol.14 No.4 August 2014 文章编号 ：1009-6744（2014）04-0194-07 中图分类号 ：F532.5 文献标识码 ：A 基于三叉树期权理论的铁路货运定价模型 郭经纬，彭其渊* （西南交通大学 交通运输与物流学院，成都 610031） 摘 要: 将期权理论引入铁路货运定价活动，构建基于运输企业和期权客户期望最大 化的多期三叉树定价模型，分析铁路运输企业的最优定价决策及期权客户的最优购买决 策.研究结果表明：最优期权订购量是关于期权执行价格和期权价格的严格单调递减函 数，而期权执行价格与现货市场运价、短期准备成本、无风险利率正相关，与长期准备成 本负相关.通过算例的敏感性分析，发现当期权执行价格升高幅度超过 10%时，期权客户 的期权购买量下降梯度迅速增加，相比于期权价格，期权执行价格对期权客户的期权执 行量具有更强的敏感性，因此铁路运输企业应关注期权执行价格的制定. 关键词： 交通运输经济; 期权定价；三叉树模型；执行价格；期权契约 Railway Freight Pricing Model Based on Trigeminal Tree GUO Jing-wei, PENG Qi-yuan （School of Transportation and Logistics，Southwest Jiaotong Universiy，Chengdu 610031，China） Abstract： Introducing the option theory into railway freight pricing activities, this paper establishes a multi-phase trigeminal tree pricing model to maximize the expectation of transportation enterprise and con- tract customers. It then analyzes the optimal pricing decision of the railway transportation enterprise and com- pares customers’optimal purchase decisions. The results show that: the optimal ordering quantity of option is a strictly monotone decreasing function to option price and exercise price. A positive correlation is identi- fied between strike price and spot market freight, short- term preparation cost, as well as risk- free interest rate; the correlation between strike price and long-term preparation cost is negative. The case study illustrates that the option purchases will get a rapid reduce when the strike price rise more than 10%. Meanwhile, com- pared to the option price, options strike price has stronger sensitivity to the number of options execution. Thus, the railway transport enterprise should focus on the options exercise price. Key words: transportation economy; option pricing; trigeminal tree model; exercise price; options contract 1 引 言 随着 6 月 15 日中国铁路总公司一系列实施货 运组织改革措施的推出，铁路货运全面走向市场， 努力为全社会提供更加方便、快捷的铁路货运服 务，已成为中国铁路总公司企业性诉