摘要
使用带期权的远期合同来规避价格风险,讨论了两种情况:①分销商的采购价格为随机变量,它和下游顾客签订了带期权的远期合同,当采购价格超过期权执行价格时,该分销商停止向顾客供货,但需为顾客支付一定的经济补偿;②供应链中存在两个供应商,其中供应商A和顾客签订了带期权的远期合同,当顾客的需求实际产生时,如果供应商B提供的价格小于期权执行价格,顾客停止从供应商A进货而从供应商B购货,由于供应商A实际上并没为顾客提供商品,故需付给顾客一定的经济补偿。对以上两种情况建立数学模型并讨论:①该类合同的价格;②期权执行价格;③合同是否为帕累托改进;④合同价格和价格风险的关系。通过数例说明该类模型的应用。
Enterprises in many industries confront with random purchase price, which leads to enormous price risk. With the optional forwards, the following two conditions are discussed： （1） the purchase price of the distributor is a random variable, and he has signed an optional forwards with the buyer. When the purchase price surpasses the execution price of the option, the distributor has the right to decline to deliver the good to the buyer and needs to pay a certain economic compensation to the buyer; （2） there are two suppliers and one buyer. The supplier A has signed an optional forward with the buyer. However, when the demand of he buyer has been realized, if the supplier B offers a lower price than the execution price of the option, the buyer has the right to buy the goods from supplier B. Since supplier A actually has not provide good to the buyer, he needs to pay a certain economic copmpensation to the buyer. Mathematical models for the above two cases are built and the following questions are discussed： （1） the price of the optional forwards; （2） the strike price of the options; （3） whether the optional forward is Pareto improvement; （4） the relation between the price of the optional forwards and the price risk. With a numerical example, the application of the models is demonstrated.
出处
《工业工程与管理》
2007年第6期13-17,34,共6页
Industrial Engineering and Management
