基于期权契约的零售商融资最优策略研究

Study on Retailer's Financing Optimal Decision Based on Option Contract

本文研究了一个由单供应商和有资金约束的单零售商组成的两级供应链系统,其中零售商可以获得风险规避银行的无限额贷款,分析了看跌期权、看涨期权和双向期权契约下零售商融资的最优策略。结果表明:三种期权契约下,零售商均存在唯一的最优实物订购量和期权订购量使得自身收益最大化,银行均存在最优的利率决策,供应商均可以通过调整批发价格实现供应链的协调。此外,通过理论分析和数值模拟分析发现:双向期权契约时零售商的订货量和收益均最大,但是极易出现破产;看涨期权契约时零售商的订货量和收益均最小,银行贷款利率最高;看跌期权契约的效果处于上述两种契约之间,零售商可以根据自身能够承担风险的程度和银行的风险规避程度,选择相应的期权契约。

This paper studies the two-echelon supply chain system consisting of a supplier and a retailer with funding constraint,in which the risk neutral retailer can obtain boundless loan from the risk-averse bank. The article analyzes optional financing decisions of the retailer under call option,put option or bidirectional option,respectively. The results show that,under the three option contracts,the retailer has a unique optimal physical ordered quantity and ordered option,the bank has an optimal rate of loan,and by adjusting the wholesale price the supplier can coordinate the supply chain. Moreover,the results of theoretical analysis and numerical simulation show that: under the bidirectional option,the retailer can get the largest order quantity and the biggest revenue,but the retailer is very vulnerable to go bankrupt. Under the call option,the retailer achieves the smallest order quantity and the least revenue,but the rate of loan from the bank is the highest. However,the retailer is not easy to bankrupt in this situation. Under the put option the effect is between the two options listed above. According to the degree of the risk and the degree of bank's risk averse,the retailer can choose the corresponding contract.