看涨期权契约与看跌期权契约对比分析研究

doi:10.12005/orms.2020.0110

运筹与管理 ›› 2020, Vol. 29 ›› Issue (4): 221-229.DOI: 10.12005/orms.2020.0110

看涨期权契约与看跌期权契约对比分析研究

扈衷权^1,2, 田军², 冯耕中²

1.西安电子科技大学经济与管理学院,陕西西安 710126;
2.西安交通大学管理学院,陕西西安 710049

收稿日期:2018-04-27 出版日期:2020-04-25
作者简介:扈衷权(1992-),通讯作者,男,回族,江苏徐州人,讲师,研究方向:应急管理与应急决策,供应链管理等;田军(1964-),男,山东东平人,教授,博士,研究方向:决策与决策支持系统,突发灾害应急管理,供应链管理,企业信息化等;冯耕中(1966-),男,教授,博士,研究方向:信息管理与电子商务,物流与供应链管理。
基金资助:
教育部人文社科基金项目(19YJA630068);国家自然科学基金重大项目(71390331)

Comparison Analysis between Call Option Contracts and Put Option Contracts

HU Zhong-quan^1,2, TIAN Jun², FENG Geng-zhong²

1. School of Economics and Management, Xidian University, Xi'an 710126, China;
2. School of Management, Xi'an Jiaotong University, Xi'an 710049, China

Received:2018-04-27 Online:2020-04-25

摘要/Abstract

摘要： 在面临相同随机市场需求的情况下,本文对期权契约中的看涨期权与看跌期权契约进行了对比分析,以期为决策者在实际采购活动中选择不同类型的期权契约时提供决策依据。通过模型建立与求解分析,本文得出了销售商接受期权契约时,契约参数需要满足的条件及相应的订购策略;并进一步得出了两种期权契约下,供应链达到协调状态时的具体条件,分析了此时契约参数对供销双方利润的影响,继而给出了两种期权契约的适用范围以及供销双方的契约选择偏好。在此基础上,本文还给出了不同期权契约下,供销双方各自利润均不低于其自身保留利润时契约参数的取值范围,并证明了两种期权契约均可有效提高销售商的利润水平。最后,本文通过算例对上述结论进行了验证。

关键词: 看涨期权契约, 看跌期权契约, 供应链协调, 契约比较

Abstract: In this paper, we make comparisons between call option contracts and put option contracts under the same stochastic market demand condition, which can provide suggestions to decision makers to choose. By modeling and analyzing, we gain the conditions that retailers achieve contracts and their order policies under different option contracts. Meanwhile, we gain the conditions that supply chain achieves coordination under different option contracts. Based on this, we analyze the influence of contract parameters on retailers' and suppliers' profit, respectively and give the scope of application of the two option contracts and the contract choice preferences of both parties. Inaddition, we find a feasible range of contract parameters that the profit of retailers and suppliers is better than their reservation profit and prove that both option contracts can effectively improve the profitability of retailers. Finally, we validate research conclusions bynumerical analysis.

Key words: call option contracts, put option contracts, supply chain coordination, contract comparison

中图分类号:

C934
F224.9

扈衷权, 田军, 冯耕中. 看涨期权契约与看跌期权契约对比分析研究[J]. 运筹与管理, 2020, 29(4): 221-229.

HU Zhong-quan, TIAN Jun, FENG Geng-zhong. Comparison Analysis between Call Option Contracts and Put Option Contracts[J]. Operations Research and Management Science, 2020, 29(4): 221-229.

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看涨期权契约与看跌期权契约对比分析研究

Comparison Analysis between Call Option Contracts and Put Option Contracts

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