基于实物期权法的CODP的定位选择研究

To Study on Deciding the Optimal Position of CODP Based on the Real Option

首次采用实物期权法,构建了大规模定制企业在生产流程中客户订单分离点(CODP)的定位决策模型。假设企业的产品可以永续生产,切换后的产品总价值V和总成本C均服从几何布朗运动,在CODP点的最优决策中只需考虑持有期权价值W的最大化,通过求解微分方程,得到了最优的CODP。用图示分析的方法研究了市场风险价格、不确定性变化以及相关系数对最优点的影响。分析表明:当相关系数和V的市场风险价格增大时,就应尽早切换;当不确定性和C的市场风险价格增大时,则应推迟切换。

The real option approach was firstly adopted to establish a positioning model of CODP in the produce processes for MC in the paper. The key assumptions were that the product could be perpetually produced, the total value and the total cost of product after switching both followed geometric Brownian motion, and only the option value was considered in the optimal decision making. By solving the Partial Differential Equation, the optimal CODP was got. The effects of volatilities, risky prices and correlative variable on the optimal switching were analyzed via a numerical example. It shows that CODP should be earlier with the increase of correlative variable and risky price of V ; CODP should be later with the increase of volatilities and risky price of C.