期权对冲下零售商最优订货策略及供应链协调机制  

Optimal Policies of Inventory Ordering and Coordination Mechanism of Supply Chain Based on Option Hedging

作　　者：刘桂芳 杨保军[2] 周雄添 LIU Gui-fang;YANG Bao-jun;ZHOU Xiong-tian(School of Finance,Guangdong University of Finance&Economics,Guangzhou 510320,China;School of Business,North Minzu University,Yinchuan 510320,China)

机构地区：[1]广东财经大学金融学院,广东广州510320 [2]北方民族大学商学院,宁夏银川750001

出　　处：《数学的实践与认识》2023年第5期241-250,共10页Mathematics in Practice and Theory

基　　金：广东省哲学社会科学“十三五”规划青年项目(GD20YYJ10);广东省基础与应用基础区域联合基金-青年基金项目(2021A1515110690);宁夏哲学社会科学重点项目《宁夏枸杞产业服务供应链结构设计与协同优化研究》(21NXAGL02)。

摘　　要：考虑到市场需求与金融衍生品标的资产之间的关联性,在供应链契约中同时引入看涨期权和看跌期权.首先,在线性相关条件下,得到了基于期权对冲的零售商最优订货策略,结果表明零售商能够利用期权对冲策略获得最大期望收益.其次,进一步基于看涨看跌期权定价理论探索了供应链协调机制,剖析了看涨看跌期权对供应链整体收益的作用,发现利用期权对冲策略可获得供应链最大期望利润.最后,用数值算例分析p,c,m,S0,r,T,σ对利润及最优订货策略的影响.According to the correlation between the underlying asset and the market demand,we will introduce the option to the supply chain contract.First,under the condition of the linear correlation,the optimal order strategy of the retailer,based on option hedging,is shown.The retailer can obtain maximum expected profit by the option hedging strategy.Second,we further explore the impact of options on the overall return of the supply chain,and research the coordination mechanism based on the supply chain of call and put options.The result shows that the option hedging strategy can obtain the maximum expected profit of the supply chain.Finally,a numerical example is given to analyze the effect of parameters p,c,m,So,r,T,o to the profit and the optimal order strategy.

关 键 词：供应链 协调机制 看涨看跌期权 最优订货策略 

分 类 号：F832.5[经济管理—金融学] F274