海运集装箱混合期权契约定价模型研究

Study on pricing model of marine container hybrid option contract

国内集装箱班轮运输企业对批量较大且稳定的客户多采用协议价格合约方式执行货运。但这种定价方式在货运量或市场运价异常波动时缺少灵活性,易造成单方面损失。本文将期权引入协议价格合约,建立混合期权契约模型,并以承托双方期望利益最大化为目标,利用二叉树模型给出最优期权订舱量和最优期权执行价格。隐性利润对比分析表明,面对市场运价和实际货运量的波动,混合期权契约隐性利润变化相对平稳,能合理降低托运人的运输成本,减少承运人的空箱风险,有利于建立稳定合作关系。敏感性分析结果表明,最优期权执行价格与协议价格和订购量呈现正相关,与现价呈现负相关;最优期权订舱量与协议订舱量负相关。

Domestic container liner transportation enterprises mostly use the agreement price contract to carry out freight for large and stable customers.However,this pricing method lacks flexibility when freight volume or market freight rate fluctuates abnormally,which is easy to cause unilateral losses.In this paper,the option is introduced into the agreement price contract,a hybrid option contract model is established,and the optimal option booking capacity and the optimal option strike price are given by using the binary tree model with the goal of maximizing the expected benefits of both parties.The comparative analysis of implicit profit shows that in the face of the fluctuation of market freight rate and actual freight volume,the implicit profit change of the hybrid option contract is relatively stable,which can reasonably reduce the shipper’s transportation cost,reduce the carrier’s empty box risk,and is conducive to the establishment of stable cooperative relationship.The results of sensitivity analysis show that the optimal strike price is positively correlated with the agreement price,and negatively correlated with the spot price and the order quantity.The optimal option capacity is nega-tively correlated with the agreed capacity.