制造商产品质量风险管理的期权策略优化研究

Optimal Option Strategy for Manufacturers to Manage Their Product Quality Risks

自20世纪90年代以来,供应链管理模式在为制造商带来发展机遇的同时也增加了其面对的产品质量风险。为了降低制造商因产品质量风险导致的经济损失,研究设计了一种期权策略。通过购买该期权,制造商可借助金融机构的风险吸收能力管理产品质量风险。以均值-方差效用最大化为目标,研究首先分析了制造商购买该期权的条件。其次,给出制造商在不同情景下的最优期权策略:情景一,当金融机构给定期权的双边界返修率时,制造商如何制定最优执行价格;情景二,当金融机构给定执行价格与某一边界返修率时,制造商如何选择另一个边界返修率。最后,以实际返修率服从[0,1)区间的贝塔分布为例,给出了制造商应用期权管理产品质量风险的最优决策算例分析。

Since the 1990 s,supply chain management has brought development opportunities for manufacturers,but at the same time has increased the product quality risks that they confront. In order for manufacturers to reduce the economic losses caused by product quality risks,an option strategy is worked out in the study. It is held in the paper that,by buying the option,a manufacturer can take advantage of the risk absorbing capacities of financial institutions in favor of quality risk management. Primarily,to maximize the mean-variance utility,conditions for manufacturers purchasing the options are analyzed. Furthermore,the optimal option strategies are given for manufacturers to employ in different situations： Scenario-1 describes how manufacturers should decide an optimal strike price when the financial institutions give the dual boundary repair rate of the option; Scenario-2 describes how manufacturers should choose another boundary repair rate when the financial institutions give a strike price and a boundary repair rate. Finally,with the actual repair rate obeying the beta distribution as an example,an analysis of the optimal decision is given to support the option application by manufacturers for product quality risk management.