基于期权的供应链协调契约风险收益研究  

The Mean-variance Model of Supply Chain Contract Based on Options

作　　者：杨渭兰 王军[1] 

机构地区：[1]青岛大学商学院,山东青岛266071

出　　处：《物流科技》2015年第3期104-107,共4页Logistics Sci-Tech

摘　　要：文章研究单周期的两级供应链契约模型,在供应链契约中引入单向和双向期权以分析零售商的风险和收益,而期权出售者向零售商收取的费用由期权产生的支出成本以及风险报酬组成。最后采用均值—方差方法得出零售商的有效前沿,通过数据分析得出零售商可以通过风险和收益选择合适的期权。In this paper we consider a single-period and two echelon supply chain contract model with stochastic demand, where introduce two kinds of options including a put option and a bidirectional option to analysis the risks and benefits of the buyer.The buyer of the option pays the option writer an amount which equals a risk premium plus the expected option payoff. Using the mean-variance method, we can get the efficient frontier with different options of the buyer. And it shows that the buyer can choose the suitable option according to the risks and benefits.

关 键 词：供应链契约 看跌期权 双向期权 均值—方差 

分 类 号：F273.7[经济管理—企业管理]