基于三叉树期权理论的铁路货运定价模型  

Railway Freight Pricing Model Based on Trigeminal Tree

作　　者：郭经纬[1] 彭其渊[1] 

机构地区：[1]西南交通大学交通运输与物流学院,成都610031

出　　处：《交通运输系统工程与信息》2014年第4期194-200,共7页Journal of Transportation Systems Engineering and Information Technology

基　　金：铁道部科技研究开发计划(2014X009-K)

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.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 contract customers. It then analyzes the optimal pricing decision of the railway transportation enterprise and compares 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 identified 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, compared 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.

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 

分 类 号：F532.5[经济管理—产业经济]