基于CVaR测度和期权市场化定价的供应链协调研究

doi:10.12005/orms.2016.0194

运筹与管理 ›› 2016, Vol. 25 ›› Issue (6): 1-10.DOI: 10.12005/orms.2016.0194

• 理论分析与方法探讨 • 下一篇

基于CVaR测度和期权市场化定价的供应链协调研究

蔡鑫^1,2, 孙静春^1,2

1.西安交通大学管理学院,陕西西安 710049;
2.机械制造系统工程国家重点实验室西安交通大学,陕西西安 710049

收稿日期:2014-12-15 出版日期:2016-12-20
作者简介:蔡鑫(1990-),男,江西南昌人,博士研究生,研究方向:供应链风险管理;孙静春(1966-),男,陕西西安人,教授,研究方向:新能源供应链管理。
基金资助:
国家自然科学基金:产能影响下的光伏供应链风险池效应研究(71372164);长江学者和创新团队发展计划(IRT1173);中央高校基本科研业务费专项基金项目(Sk2014008)

Study of Supply Chain Coordination Based on CVaRand Market-Oriented Option Pricing

CAI Xin^1,2, SUN Jing-chun^1,2

1.School of management, Xi’an Jiaotong University, Xi’an, Shannxi 710000, China;
2.State Key Laboratory for Manufacturing Systems EngineeringXi’an Jiaotong University, Xi’an 710049, China

Received:2014-12-15 Online:2016-12-20

摘要/Abstract

摘要： 本文基于条件风险值(CVaR)和期权市场化定价规则,研究了具有风险规避特性的销售商和风险中性的供应商组成的供应链系统的协调问题。首先,利用CVaR风险测度工具建立了包含风险厌恶系数的销售商目标函数,得出了满足供应链协调的期权参数之间的关系。之后又根据Black-Schoels(B-S)模型得到满足市场化定价规则的期权参数之间的关系。通过联立上述两个条件证明了存在既满足供应链协调条件又满足期权市场化定价规则的期权定价组合(o^*,e^*),说明满足市场化定价规则的的期权契约能很好地协调风险规避型供应链。另外,文章还分析了模型中主要参数对该期权定价组合以及供应链各方利润的影响。最后,以数值分析的方式探讨了各参数实际对供应链系统运作效率的影响程度。

关键词: 供应链协调, 期权契约, Black-Schoels模型, CVaR

Abstract: This article studies the coordination problem in a supply chain that consists of a risk-neutral supplier and a risk-averse retailer based on Conditional Value-at-Risk(CVaR)and Market-Oriented Option Pricing rules. First, an objective function that contains a risk aversion coefficient of retailer is established in a CVaR framework, and the relationship between the parameters of option that can coordinate supply chain is derived. Then according to Black-Schoels Model, the relationship between the parameters of option that can meet Market-Oriented Option Pricing rules is derived. Through the above two conditions, we prove the existence of a option combination(o^*,e^*)which can meet the requirement of supply chain coordination condition and Market-Oriented Option Pricing rules simultaneously, it means that the option contract can coordinate supply chain very well under the Market-Oriented Pricing rules. Besides, we also analyse the effect of relevant parameters on option contract and the profit of Supply chain participants. Lastly, an numerical example is given to prove the peroration mentioned above.

Key words: supply chain coordination, option contract, black-schoels model

中图分类号:

F253.4

蔡鑫, 孙静春. 基于CVaR测度和期权市场化定价的供应链协调研究[J]. 运筹与管理, 2016, 25(6): 1-10.

CAI Xin, SUN Jing-chun. Study of Supply Chain Coordination Based on CVaRand Market-Oriented Option Pricing[J]. Operations Research and Management Science, 2016, 25(6): 1-10.

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基于CVaR测度和期权市场化定价的供应链协调研究

Study of Supply Chain Coordination Based on CVaRand Market-Oriented Option Pricing

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