运价呈几何布朗运动规律的班轮运输期权决策  

Option Decision-Making of Liner Shipping Given Freight Rate in Geometric Brownian Motion Distribution

作　　者：宋巍 刘李鹏 杨华龙 王大元 SONG Wei;LIU Lipeng;YANG Hualong;WANG Dayuan(Transportation Engineering College,Dalian Maritime University,Dalian 116026,China)

机构地区：[1]大连海事大学交通运输工程学院,辽宁大连116026

出　　处：《中国航海》2020年第3期129-134,共6页Navigation of China

基　　金：国家自然科学基金(72071024);中央高校基本科研业务费(01760431)。

摘　　要：针对运价呈几何布朗运动规律下的集装箱班轮运输期权决策问题,基于期权和Stackelberg博弈理论,分析集装箱班轮运输承托双方的博弈关系,以托运人期望运费最低和承运人期望利润最大化为目标,构建托运人期权认购量和承运人期权定价优化模型,并根据设计改进的遗传算法对其进行求解。算例结果表明:期权售舱既可增加承运人的期望利润,又可节省托运人的期望运费;随着承运人市场竞争力系数的增大,采用期权售舱,承运人的期权价格、期望利润和托运人的期望运费等都会增加,但承运人期望利润的增长率和托运人期望运费的降低率会明显下降。Under the option decision-making of liner shipping given freight rate in geometric Brownian motion distribution, the game relationship between a carrier and a shipper as two parties is analyzed based on the option theory and Stackelberg game theory. The optimization models on option subscription of a shipper and option pricing of a carrier are established with the objectives of minimizing the shipper’s expected freight cost and maximizing the carrier’s expected profit. An improved genetic algorithm is designed to solve the optimization problems. The numerical examples show that the carrier’s expected profit will increase while the shipper’s expected freight cost will decrease, if the proposed option slot sale strategy is employed. The sensitivity analysis indicates that with the proposed option slot sale strategy, the larger the carrier’s market competitiveness coefficient is, the higher both the carrier’s option price expected profit and the shipper’s expected freight cost are. However, the growth rate of the carrier’s expected profit and the reduction rate of the shipper’s expected freight cost decline significantly along with the increase of the carrier’s market competitiveness coefficient.

关 键 词：班轮运输 期权决策 运价 STACKELBERG博弈 几何布朗运动 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置] U169.2[自动化与计算机技术—控制科学与工程]