实物期权方法在生产外包中的应用  

An Application of Real Options to Production Outsourcing

作　　者：许民利[1] 陈晓红[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《系统工程》2006年第9期84-87,共4页Systems Engineering

基　　金：国家自然科学基金资助项目(70471048);中国博士后科学基金资助项目(2003034465)

摘　　要：生产外包对许多企业来说显得越来越重要,因为它能为企业带来管理柔性和竞争优势。生产外包被看成是一种欧式期权并构建实物期权模型进行价值评价。模型中包含产品价格、市场需求、自制生产成本和外包生产成本等四种不确定性源,并通过蒙特卡罗模拟得到生产外包的期权价值。模拟表明,生产外包的期权价值和产品市场价格的变动率、市场需求的变动率及外包成本的变动率是正相关的,而与自制成本的变动率是负相关的。当市场需求的变动率增加、价格的不确定性增加、或者外包成本的不确定性增加,或者自制成本的变动率降低,生产外包就越有利。研究表明实物期权方法对生产外包决策是一种好工具,能够有效地估计外包的期权价值。Production outsourcing is becoming more and more important, which is a good way to gain production flexibility and competitive advantage. Production outsourcing is considered as a series of European options and valuated by real option approach. We analyzed the options value hy Monte Carlo simulation. Product price, market demand, self-manufacturing cost and outsourcing cost are considered as the sources of uncertainty in the simulation. The results show that the options value of production outsourcing correlates with volatility of product price, volatility of market demand, volatility of outsourcing cost positively, but with volatility of self-manufacturing cost negatively. When the volatility of product price, or the uncertainty of market demand, or the uncertainty of outsourcing cost increases, or the uncertainty of manufacturing-in-house decreases, it will be more valuable to outsource the products. We show that real options approach is a useful tool to evaluate the value of production outsourcing, which will help the outsourcing decision.

关 键 词：生产外包 实物期权 蒙特卡罗模拟 柔性 

分 类 号：F406[经济管理—产业经济] F830