基于看涨期权和看跌期权的供应链契约选择决策分析：从利润和风险角度

发布时间：2018-05-06 08:13

本文选题：看涨期权 + 看跌期权　；参考：《西南交通大学》2017年硕士论文

【摘要】：近年来,随着经济全球化的发展使得国际、国内等各类市场的需求不确定性变高,风险变大,而这一现象已然成为供应链管理方面研究的重点。尤其是针对那些具有较长的生产提前期、销售周期相对较短、需求不确定性大的创新型产品,许多学者提出用具有柔性的期权契约来提高这类供应链绩效。在诸多期权契约研究中,有很多学者通过对期望利润的分析证明出期权契约可以提升供应链表现,还有部分学者从引用期权可能存在风险的角度对期权契约进行研究,但很少有学者研究如何选择期权契约。因为对决策者而言,面对未知的市场环境可能无法准确的选择合适的期权来应对市场风险。本文就是从该角度出发,对单向期权中的看涨、看跌期权契约进行比较分析,为决策者提供决策建议。本文从利润、风险、利润加风险三个层面对看涨、看跌期权契约进行比较分析,并通过设置不同的市场环境分析各因素对利润、风险的影响情况。在进行利润角度分析时,对比分析了买卖双方以及供应链在使用看涨、看跌期权契约时利润的大小,以及期权契约的价值和协调性的不同。在进行风险分析时,比较买方在使用两种期权时风险可能出现的概率大小。在进行利润加风险分析时,对比买方在两种期权契约下的期望利润、实际利润以及风险出现的概率。本文通过设置不同的市场环境,测试与分析了看涨、看跌期权契约在提高买卖双方以及供应链的利润和给买方可能带来的风险方面的差异性,为决策者在不同市场环境下的期权选择提供决策依据。
[Abstract]:In recent years, with the development of economic globalization, the demand uncertainty and risk in international and domestic markets have become higher and greater, and this phenomenon has become the focus of research on supply chain management. Especially for those innovative products with long production lead time, relatively short sales cycle and high demand uncertainty, many scholars have proposed to use flexible option contracts to improve the performance of such supply chain. Among the many options contract researches, many scholars prove that the option contract can improve the performance of supply chain through the analysis of expected profit, and some scholars study the option contract from the perspective of the possible risk of citing options. But few scholars study how to choose the option contract. Because for policymakers, facing the unknown market environment may not be able to accurately choose the right options to deal with market risks. From this point of view, this paper makes a comparative analysis of the bullish and put contracts in one-way options, and provides decision advice for decision makers. This paper makes a comparative analysis on the contract of bullish and put options from three aspects of profit, risk, profit and risk, and analyzes the influence of various factors on profit and risk by setting up different market environment. In the analysis of profit, the paper contrasts and analyzes the difference of the value and coordination of the option contract between the buyer and the seller and the supply chain in the use of call, put option contract and the size of profit, as well as the value and coordination of the option contract. In the risk analysis, the probability of the buyer using the two options is compared. In the analysis of profit plus risk, the expected profit, actual profit and the probability of occurrence of risk are compared between the buyer and the buyer under the two options contracts. By setting up different market environments, this paper tests and analyzes the differences between bullish and put options contracts in increasing the profits of buyers and sellers as well as the supply chain and the risks they may bring to the buyers. It provides the decision basis for the choice of options in different market environment.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F274

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