基于期权合约的供应链协同决策研究

doi:10.16381/j.cnki.issn1003-207x.2018.0771

中国管理科学 ›› 2020, Vol. 28 ›› Issue (11): 100-109.doi: 10.16381/j.cnki.issn1003-207x.2018.0771

基于期权合约的供应链协同决策研究

田军^1,2, 田晨³, 董赞强⁴

1. 郑州航空工业管理学院经济学院, 河南郑州 450046;
2. 河南大学商学院, 河南开封 475001;
3. 郑州航空工业管理学院外国语学院, 河南郑州 450046;
4. 郑州航空工业管理学院智能工程学院, 河南郑州 450046

收稿日期:2018-05-31 修回日期:2018-10-15 出版日期:2020-11-20 发布日期:2020-12-01
通讯作者: 田军(1963-),男(汉族),河南温县人,郑州航空工业管理学、河南大学,教授,博士生导师,研究方向:金融工程与风险管理、供应链与物流管理,E-mail:alexjtian@163.com. E-mail:alexjtian@163.com.
基金资助:
国家自然科学基金资助项目（70572001，70971121，71210107034）；国家软科学研究资助项目（2014GXS2D024）；航空科学基金资助项目（2013ZG55027）；河南省政府决策招标课题（2012A003）

Research on Cooperative Decision-making of Supply Chain Based on Option Contract

Tian Jun^1,2, Tian Cheng³, Dong Zan-qiang⁴

1. School of Economics, Zhengzhou University of Aeronautics, Zhengzhou 450046, China;
2. Business School, Henan University, Kaifeng 475001, China;
3. School of Foreign Languages, Zhengzhou University of Aeronautics, Zhengzhou 450046, China;
4. School of Intelligent Engineering, Zhengzhou University of Aeronautics, Zhengzhou 450046, China

Received:2018-05-31 Revised:2018-10-15 Online:2020-11-20 Published:2020-12-01

摘要/Abstract

摘要： 本文在市场需求和价格不稳定的双重背景下，研究以风险规避为目的的供应商如何在供应链管理中运用期权合约实现利润最大化的途径问题。供应商通过在二级供应链中引入实物期权，在购买方需求不确定时可以将其引致的风险转移向供应方，而供应方的风险通过来自期权合约的额外收益在最大程度上被平衡。本文在分析考虑期权因素的决策模型中，研究市场需求以随机分布状态变化时，构建具有期权合约的最优利润最大化模型问题。数值算例验证了期权合约策略模型的可行性。本研究在一定程度上完善了供应链中期权合约的风险规避模型，为供应链企业风险管理的决策依据提供了有用的实践参考价值。

关键词: 随机需求, 风险规避, 协同决策, 期权合约

Abstract: In this paper, in view of the application of option contract in supply chain under market demand and price instability, how risk-averse suppliers design the option contract model to maximize the profit is studied. When there is uncertainty or random demand in the supply chain, the risk is more prominent. Option contract is an effective tool to prevent risk. Through the introduction of real options in the two level supply chain, the risk caused by the uncertainty of the buyer's demand will be transferred to the supplier, and the risk of the party is passed from the option contract. The extra profit, which is from the option contract model presented in the paper, is used to balance the risk. In the analysis of the collaborative decision scheme that does consider the option factors, the optimal profit maximization model of the option contract is constructed under the circumstances that market demand changes in the random distribution state. Numerical calculation examples verify the feasibility of the option contract strategy model. This research improves the risk-averse model of the option contract in the supply chain to a certain extent, and provides a useful practical reference value for the decision basis of the risk management of the supply chain enterprises.

Key words: stochastic demand, risk-averse, collaborative decision making, option contract

中图分类号:

F274

田军, 田晨, 董赞强. 基于期权合约的供应链协同决策研究[J]. 中国管理科学, 2020, 28(11): 100-109.

Tian Jun, Tian Cheng, Dong Zan-qiang. Research on Cooperative Decision-making of Supply Chain Based on Option Contract[J]. Chinese Journal of Management Science, 2020, 28(11): 100-109.

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基于期权合约的供应链协同决策研究

Research on Cooperative Decision-making of Supply Chain Based on Option Contract

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