销售商出售看跌期权的供应链优化研究
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摘要
在由一个供应商和一个销售商组成的单期两级供应链中,处于主导地位的销售商以其卖场所具有的销售能力参与供应链合作,并从销售的每一个产品中获取既定收益。同时,销售商还向供应商出售建立在产品销售量保障基础上的看跌期权,以激励供应商参与供应链合作。论文对上述情形的销售商出售看跌期权的供应链合作问题进行了研究,通过建模与优化分析,证明了在销售商提供看跌期权的供应链合作中,供应商存在唯一的最优生产批量和看跌期权采购量,以及销售商存在最优的从每一单位产品销售中获取的既定收益。论文还揭示了销售商提供看跌期权,虽然无法实现供应链协调,但可以实现供应链参与企业所获得的收益与其所承担的风险相匹配。最后,论文论证了在销售商出售看跌期权机制下,供应链存在收益损失较小的理想合作区域。
In a one-period two-party supply chain with one supplier and one dominant retailer,the retailer provides a put option to the supplier,and gets given revenue per unit of product. We model the put option contracts for the supply chain. From the model optimization analysis,we firstly obtain the supplier's optimal product quantity and the optimal order quantity of the put option,and the retailer's optimal revenue per unit of product.Then we show that,though the put option contracts can not coordinate the supply chain,they can match the revenue and risk between the supplier and the retailer in the supply chain. We also reveal that,comparing with the wholesale price contracts,the supply chain cooperation mechanism with put option contracts has Pareto cooperation advantage. Finally,this study also reveals that the supply chain's ideal cooperation scheme exists in the decentralized decision situation in the supply chain with a put option contracts,which will reduce the loss of the supply chain's revenue.
In a one-period two-party supply chain with one supplier and one dominant retailer,the retailer provides a put option to the supplier,and gets given revenue per unit of product. We model the put option contracts for the supply chain. From the model optimization analysis,we firstly obtain the supplier's optimal product quantity and the optimal order quantity of the put option,and the retailer's optimal revenue per unit of product.Then we show that,though the put option contracts can not coordinate the supply chain,they can match the revenue and risk between the supplier and the retailer in the supply chain. We also reveal that,comparing with the wholesale price contracts,the supply chain cooperation mechanism with put option contracts has Pareto cooperation advantage. Finally,this study also reveals that the supply chain's ideal cooperation scheme exists in the decentralized decision situation in the supply chain with a put option contracts,which will reduce the loss of the supply chain's revenue.
引文
[1] Wu J. Quantity flexibility contracts under bayesian updating[J]. Computer&Operations Research,2005,32:1267-1288.
[2] Ritchken P,Tapiero C. Contingent claims contracting for purchasing decisions in inventory management[J].Operations Research,1986,34(6):864-870.
[3] Barnes-Schuster D,Bassok Y,Anupindi R. Coordination and flexibility in supply contracts with options[J].Manufacturing&Service Operations Management,2002,4(3):171-207.
[4] Donohue K. Efficient supply contracts for fashion goods with forecast updating and two production modes[J].Management science,2000,46(11):1397-1411.
[5] Xu H. Managing production and procurement through option contracts in supply chains with random yield[J].International Journal of Production Economics, 2010,126(2):306-313.
[6] Zhao Y,Wang S,Cheng T,et al. Coordination of supply chains by option contracts:a cooperative game theory approach[J]. European Journal of Operational Research,2010,207(2):668-675.
[7] Liu Z,Chen L,Li L,et al. Risk hedging in a supply chain:option vs. price discount[J]. International Journal of Production Economics,2014,151:112-120.
[8]郭琼,杨德礼,迟国泰.基于期权的供应链契约协调模型[J].系统工程,2005,23(10):1-6.
[9]李琳,范体军.不确定环境下两阶段供应链的期权式契约协调[J].系统工程学报,2012,27(6):812-822.
[10]尚文芳,祁明,张智勇.基于需求信息更新和短缺量延期供给的易逝品供应链期权契约研究[J].管理学报,2012,9(6):908-935.
[11]覃艳华,曹细玉.供应链应对突发事件的期权契约模型研究[J].预测,2012,31(1):60-64.
[12] Wu D,Kleindorfer P,Zhang J. Optimal bidding and contracting strategies for capital-intensive goods[J].European Journal of Operational Research,2002,137(3):657-676.
[13] Wu D,Kleindorfer P,Sun Y. Optimal capacity expansion in the presence of capacity options[J]. Decision Support Systems,2005,40(3):553-561.
[14] Spinler S,Huchzermeier A,Kleindorfer P. An options approach to enhance economic efficiency in a dyadic supply chain[M]//Cost Management in Supply Chains.Physica-Verlag HD,2002:349-360.
[15] Fu Q,Lee C,Teo C. Procurement management using option contracts:random spot price and the portfolio effect[J]. IIE Transactions,2010,42(11):793-811.
[16] Chen X,Shen Z. An analysis of a supply chain with options contracts and service requirements[J]. IIE Transactions,2012,44(10):805-819.
[17]李娟,黄培清,赵晓敏.基于更新信息的两级供应链双向期权合同研究[J].系统工程学报,2008,23(3):295-301.
[18]赵映雪,孟晓阁,张蕙,乔晗.双向期权在供应链协调中的应用[J].管理评论,2012,24(7):164-176.
[19] Chen F,Parlar M. Value of a put option to the riskaverse newsvendor[J]. IIE Transactions,2007,39(5):481-500.
[20] Wang Q,Tsao D. Supply contract with bidirectional options:the buyer’s perspective[J]. International Journal of Production Economics, 2006, 101(1):30-52.
[2] Ritchken P,Tapiero C. Contingent claims contracting for purchasing decisions in inventory management[J].Operations Research,1986,34(6):864-870.
[3] Barnes-Schuster D,Bassok Y,Anupindi R. Coordination and flexibility in supply contracts with options[J].Manufacturing&Service Operations Management,2002,4(3):171-207.
[4] Donohue K. Efficient supply contracts for fashion goods with forecast updating and two production modes[J].Management science,2000,46(11):1397-1411.
[5] Xu H. Managing production and procurement through option contracts in supply chains with random yield[J].International Journal of Production Economics, 2010,126(2):306-313.
[6] Zhao Y,Wang S,Cheng T,et al. Coordination of supply chains by option contracts:a cooperative game theory approach[J]. European Journal of Operational Research,2010,207(2):668-675.
[7] Liu Z,Chen L,Li L,et al. Risk hedging in a supply chain:option vs. price discount[J]. International Journal of Production Economics,2014,151:112-120.
[8]郭琼,杨德礼,迟国泰.基于期权的供应链契约协调模型[J].系统工程,2005,23(10):1-6.
[9]李琳,范体军.不确定环境下两阶段供应链的期权式契约协调[J].系统工程学报,2012,27(6):812-822.
[10]尚文芳,祁明,张智勇.基于需求信息更新和短缺量延期供给的易逝品供应链期权契约研究[J].管理学报,2012,9(6):908-935.
[11]覃艳华,曹细玉.供应链应对突发事件的期权契约模型研究[J].预测,2012,31(1):60-64.
[12] Wu D,Kleindorfer P,Zhang J. Optimal bidding and contracting strategies for capital-intensive goods[J].European Journal of Operational Research,2002,137(3):657-676.
[13] Wu D,Kleindorfer P,Sun Y. Optimal capacity expansion in the presence of capacity options[J]. Decision Support Systems,2005,40(3):553-561.
[14] Spinler S,Huchzermeier A,Kleindorfer P. An options approach to enhance economic efficiency in a dyadic supply chain[M]//Cost Management in Supply Chains.Physica-Verlag HD,2002:349-360.
[15] Fu Q,Lee C,Teo C. Procurement management using option contracts:random spot price and the portfolio effect[J]. IIE Transactions,2010,42(11):793-811.
[16] Chen X,Shen Z. An analysis of a supply chain with options contracts and service requirements[J]. IIE Transactions,2012,44(10):805-819.
[17]李娟,黄培清,赵晓敏.基于更新信息的两级供应链双向期权合同研究[J].系统工程学报,2008,23(3):295-301.
[18]赵映雪,孟晓阁,张蕙,乔晗.双向期权在供应链协调中的应用[J].管理评论,2012,24(7):164-176.
[19] Chen F,Parlar M. Value of a put option to the riskaverse newsvendor[J]. IIE Transactions,2007,39(5):481-500.
[20] Wang Q,Tsao D. Supply contract with bidirectional options:the buyer’s perspective[J]. International Journal of Production Economics, 2006, 101(1):30-52.