需求均匀分布条件下基于期权交易的零售商订货模型  

Retailer's Ordering Model Based on Options Dealing in Condition of Uniform-Distribution Demand

作　　者：马勇[1] 汪传旭[1] 

机构地区：[1]上海海事大学经济管理学院,上海200135

出　　处：《复旦学报（自然科学版）》2013年第2期160-166,共7页Journal of Fudan University：Natural Science

基　　金：教育部人文社会科学基金项目(09YJA630094);教育部博士点专项科研基金(20093121110002);上海海事大学研究生创新基金项目(wk2012013)

摘　　要：在供应链中,成员企业通过合作来降低不确定性.通过分析看涨期权的可交易性,将零售商初始订货批量和初始看涨期权购买量作为决策变量,考虑看涨期权价格和执行价格的可变性,以总成本最小为目标,建立了需求为均匀分布条件下的零售商订货模型.通过模型求解和算例分析得出,零售商在看涨期权可交易时比看涨期权不可交易时的初始订货批量要小,而且两者的差额与看涨期权的交易价格有关.同时,随着看涨期权初始执行价格的增加,零售商在期权可交易时的初始订货量比期权不可交易时增长得更快,看涨期权初始购买量减少得更慢.In a supply chain, member enterprises reduce uncertainty through their cooperation. A retailer＇s ordering model is put forward, which is based on call options dealing with uniform-distribution demand and aims at achieving cost minimization. The model has two decision variables： the initial order quantity and the initial call options purchase quantity. In the model, the price and exercise price of call options is changeable. It can be shown that the initial order quantity with option dealing is smaller than the one without option dealing, and the difference between them is related to the transaction price of call options. Besides, with the increase of the initial exercise price of call options, the initial order quantity with option dealing increases more quickly than the one without option dealing, while the initial purchased quantity of call options decreases more slowly.

关 键 词：供应链 期权交易 看涨期权 订货决策 

分 类 号：F274[经济管理—企业管理]