逆向主导型供应链期权定价优化的绩效影响因素分析  

Analysis of Performance Factors in Customer-Led Supply Chains Based on Option Pricing Optimization

作　　者：赵金实[1] 霍佳震[1] 赵莹[2] 段永瑞[1] 

机构地区：[1]同济大学经济与管理学院,上海200092 [2]长春大学旅游学院,吉林长春130022

出　　处：《管理工程学报》2011年第1期128-133,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金重点项目资助(70832005);中国博士后基金项目第46批资助;上海市博士后基金项目资助(10R21415900);上海市教委科研创新项目(09ZS39)

摘　　要：在包含市场利率、现货价格波动率和期权期限三个重要期权定价影响因素的逆向主导型供应链期权协作模型基础上,通过对模型决策优化机制的分析和灵敏度分析的方法,借助Matlab软件工具,研究市场利率和现货价格波动率对期权定价和供应链绩效的影响。通过数值仿真分析,进一步计算市场利率和现货价格波动率对期权定价和供应链绩效影响的规律和临界值。获得对企业制定供应链期权契约具有指导意义的研究结论。Companies are increasingly constructing customer-centric supply chains in order to cope with the unrelenting pressure of cost reduction.The customer-centric supply chain strategy emphasizes improvement of key factors such as market rates,volatility and option pricing terms via the coordination of supply chain partners.A review of literature on supply chain management shows that other factors,such as product production cost,product selling price and the relationship between supply chain partners,have been considered.Globalization requires that companies be more flexible and adaptive to the changes of market environment because of increased factor mobility and market access.Therefore,a company needs to consider many relevant factors,such as the cost of funds,the opportunity cost of scheduled capacity and the uncertainty risk of product price fluctuations,when constructing a customer-centric supply chain.This study proposes an option pricing optimization model to help a company manage its customer-centric supply chains.This option pricing optimization model considers the importance of market interest rates,product price volatility and option deadline.As a result,instead of managing supply chains from supplier＇s perspectives this model offers the possibility of managing supply chains from customer＇s perspectives.Our work places emphasis on the synergy of a B-S option pricing model and supply chain operation mechanisms.Market interest rates,price volatility and option deadlines are three factors programmed into our decision-making model for the management of customer-centric supply chains.After including these three factors,business benefits can be optimized for all supply chain partners and are aligned with the B-S option pricing model.Our proposed model can better meet the actual needs of supply chain operations.Moreover,the combination of a supplier-centric supply chain and B-S option pricing models can be recalculated for each use to fit a new circumstance.This operational flexibility enables our proposed mode

关 键 词：供应链 期权定价 优化 绩效 

分 类 号：F224[经济管理—国民经济]