Analysis of Nash-Cournot equilibrium for electricity markets considering option contracts

Option contract is one of the most important instruments for power generators developing bidding strategies and hedging market risk. Based on the peculiarities of bid-based-pool （BBP） power markets, a joint two-stage Cournot equilibrium model for option and spot markets is developed, and analytical formulas for market equilibrium are derived using a backward induction method. The impacts of option contract on efficiency of electricity markets and the behaviors of strategic generators are analyzed. The results show that strategic generators will voluntarily participate in strategic option contracting, and the existence of option contract accelerates the degree of competitive intensity in electricity markets and mitigates the market power abuse of generators to a large extent. In order to retain high spot market price and stable revenues, generators are interested in holding extremely high volatility of spot market price.

Coordination by Option Contracts in a Retailer-Led Supply Chain with Demand Update

This research examines how to use an option contract to coordinate a retailer-led supply chain where the market information can be updated. Based on Stackelberg game theory, we build a mode with one supplier and one retailer in which the retailer designs contracts to coordinate the supplier＇s production in a two-mode production environment. This focuses on an option contract that consists of two option prices and one exercise price. By theoretical analysis and numerical example, we find that such a contract can coordinate the supplier and retailer to act in the best interest of the channel. The optimal pricing conditions are given as follows： First, option prices should be negatively correlated to the exercise price and should be in a relevant range. Second, the first-period option price should be no greater than the second-period price and should be linearly correlated to the second-period option price when the latter is beyond some threshold. The results show that such option contracts can arbitrarily allocate the extra system profit between the two parties so that each party is in a win-win situation.

Mechanisms of Collaboration in the Hotel Supply Chain:Two-Stage Ordering Contract and Option Contract

This paper considers a hotel supply chain consisting of a hotel and an online travel agent （OTA） for the distribution of a limited number of rooms through both offline and online channels. Under the merchant cooperation assumption, to overcome the disadvantages of the decentralized decision model and demand uncertainty, two collaboration mechanisms, namely a two-stage ordering contract and an option contract, are introduced to increase the profit in the hotel supply chain. This paper investigates the optimal decisions of the hotel and the OTA under different contract models. Moreover, the authors analyze the effect of demand uncertainty and the interaction of demand variability and the hotel＇s capacity on the profits of the hotel and the OTA under different models. The results show that both the two-stage ordering contract and the option contract can increase the profits of the entire supply chain and the hotel; however, the profit of the OTA can be increased through the two-stage ordering contract and option contract only when the hotel＇s capacity is relatively small and the demand variability is big; otherwise, the two collaboration mechanisms cannot increase the OTA＇s profit.

Study of the Option Ordering Policy concerning Perishable Farm Produce Based on Revenue Sharing Contract

This paper considers the two-echelon supply chain system which consists of single agricultural producers and retailers,and analyzes the impact of sharing ratio on the option ordering quantity,and retailers and producers' expected profits.Studies have shown that in the case of decentralization,when the revenue sharing ratio is between 0 and 0.3,the option ordering quantity of farm produce is a decreasing function of the sharing ratio; when the revenue sharing ratio is between 0.3 and 1,the option ordering quantity of farm produce is an increasing function of sharing ratio; when the revenue sharing ratio is between 0.421 and 1,the agricultural producers and retailers' expected profits are an increasing function of sharing ratio.Finally,through the numerical calculation,the applicability of the conclusions is verified,to provide a reference for the supply chain management practices.

Conception of Allocating Farming Water Resource with Option System

The uncertainty of natural fall results in the uncertainty of water resource, which brings difficulty in allocating farming water resource characterized by ＂more use when it is lack but less when enough＂. By analyzing the endurance of farming households of water price and the shortcoming of transaction system of farming water fight, options of farming water are deviated from water fight market, which allows farming households to evade the natural and market risks by means of purchasing call or put option contracts in order to raise the utilization ratio of water and to realize the allocation optimum.

突发疫情下考虑供应中断风险的制造商采购策略研究

突如其来的新冠肺炎疫情给我国人民的生命安全与经济活动带来了巨大的影响,供应链作为经济活动的重要组成部分,不可避免地遭受了冲击,如何应对供应链中断风险是企业面临的重要挑战。论文研究供应链中断风险情况下制造商采购策略,通过引入期权契约,构建不同情形下由低价不可靠的主供应商、高价可靠的后备供应商和风险规避制造商组成的采购模型,并得出以下结论:市场需求和采购价格是影响制造商最优采购量的重要因素,其中当主供应商出现中断时,其可靠性也是影响制造商采购的因素;当市场需求,主供应商的可靠性和成本等影响因素变化时,制造商对主供应商的最优采购决策、对供应链中断应急策略的选择都将发生变化;当且仅当主供应商的供应价格小于制造商向市场销售该产品销售价格和自身制造成本之差时制造商的最优采购量随着期权执行价格增加而增加。

服务水平约束下基于看跌期权的风险规避零售商决策研究

针对消费电子行业需求不确定导致下游对新产品订货疲软的问题,本文在风险中性制造商和风险规避零售商之间设计了看跌期权契约,同时考虑服务水平约束的限制。通过比较以探讨看跌期权契约是否能激励风险规避零售商增加订货,并分析了零售商风险规避系数、服务水平约束和看跌期权契约参数对零售商决策和相关成员利润的影响。结果发现:零售商风险规避程度的增加会抑制其最优初始订单量的增加,但对制造商的期望利润存在正面影响;高服务水平有利于增加零售商的最优初始订单量和制造商的期望利润,但不利于增大零售商的最大条件风险值;看跌期权契约的存在对供应链成员均有好处。

基于物资双向采购的三级应急供应链协调研究

原材料供应中断会使得三级应急供应链面临断货风险,严重影响到应急救援的效率,同时,因应急物资需求不确定性风险容易引起物资配置不当与资源浪费问题。为提高应急供应链的风险防御能力,本文以政府-制造商-原材料供应商组成的三级应急供应链系统为研究目标,分析了应急物资的采购与回购策略,依据灾害发生频次不同的区域,分别构建看涨期权契约以及回购契约模型,并通过同批发价格契约与看跌期权契约的比较,得到了不同契约模式下三级应急供应链的协调条件,并与集中决策时的两级应急供应链进行对比分析,表明原材料供应商参与下的三级供应链整体的订购水平会得到提升。最后,本文通过数值算例对所建模型进行了验证。

考虑供应链成员风险规避程度的契约偏好研究

由于短生命周期产品供应链市场波动性较大,引入期权契约,考虑供应链成员的风险规避行为,分析供应链成员不同风险规避程度和期权价格下对契约的偏好情况。研究发现:需要在双方一定的风险规避程度和期权价格范围内才能使供应链双方成员均偏好期权契约;当零售商风险规避程度较弱时,无论制造商的风险规避程度强弱,双方都不会同时偏好期权契约;故虽然期权契约相比批发契约灵活性更高,但在实际应用中期权契约未必一定优于批发契约。

基于期权的供应链契约式协调模型

通过期权机制,建立供应链协调过程中各决策主体的决策模型,发现期权机制下的供应链及其成员的收益要优于报童模型(N ew svendor)的情况。供应商通过制定期权的价格政策和选择合适的产品出清方式,可以将部分市场风险转移给供应商,供应商也因此通过期权而获得相应的风险补偿,从而达到供应链协调,实现帕累托最优。根据电子半导体类产品的特征,对论文中的理论模型进行详细的模拟分析,结果验证了期权契约在供应链协调过程中的有效性。

基于摆动期权合约的发电商风险回避模型研究

电力工业正在进行打破垄断、鼓励竞争的市场化改革,在这个过程中,市场参与者将获得不少的机会,同时他们也将面临巨大的风险,一个关键的问题是市场参与者如何来管理这些新的风险。市场环境下的电力价格呈现出比管制条件下更为复杂的变化形式,发电商要同时面对燃料市场和电力市场中的市场风险。该文首先在燃料市场和电量市场之间构造出交叉商品组合,在此基础上引入摆动期权合约设计了发电商的风险回避模型。该模型形式简单,易于实现,通过该模型发电商能够比较有效地回避市场风险。

基于收益共享与努力成本共担的供应链期权销量担保契约

对销售商和供应商组成的两级供应链,在需求为随机且与努力水平相关的市场环境下,建立了供应链期权销量担保契约模型,提供了一种基于期望损失的期权定价方法,分析了努力因素对供应链协调的影响。研究得出在考虑努力因素时单纯的期权销量契约无法实现供应链协调,为此,引入收益共享和努力成本共担策略,对原契约加以修正,当收益共享和努力成本共担比例满足一定条件时,则可以实现供应链协调,并进一步讨论了使修正契约具有帕累托优势的条件。最后,提供了一种模型优化分析方法,并通过算例分析验证了研究结论的有效性。

基于Stackelberg博弈的生鲜农产品供应链决策研究

针对生鲜农产品流通过程的巨大损耗,引入期权合同工具,基于Stackelberg博弈,研究一个供应商和一个零售商组成的单周期两阶段供应链的决策问题。在零售商既订购产品又订购期权的情况下,给出分散控制系统中零售商的最优产品订购和最优期权订购策略以及供应商的最优定价策略。经数值分析得到:产品损耗率与零售商的最优期权订购量和最优总订购量成正比,与最优产品订购量先成正比、再成反比;期权订购价与零售商的最优期权订购量和最优总订购量成反比,与最优产品订购量成正比。

供应链柔性契约与单向及双向期权模式选择

在随机市场需求环境下,引入了单向及双向期权机制,分析了2种不同期权模式对易逝品供应链柔性契约的影响。得出了不同期权契约下销售商、供应商的决策优化策略;讨论了不同期权模式对销售商的经营决策、供应商的经营决策以及供应链协调的影响;论证了单向及双向期权机制均可以提高销售商总的订货量,但在接近供应链最优订货量上存在差异。最后,通过数值算例验证研究结论的有效性。

基于需求预测的供应链期权式契约协调

通过期权机制,分别建立了基于需求预测的两阶段生产和订购模式下的集中决策型和合作型供应链中各决策主体的决策模型,发现期权机制要优于传统的报童模型(N ew svendor)。在合作型供应链中,供应商和零售商根据预测结果合理地安排其两阶段的生产和订购量,通过选择不同的期权价格政策,可以将部分市场风险转移给供应商,供应商也因此通过期权而获得相应的风险补偿,从而实现供应链协调。最后根据电子半导体类产品的特征,对论文中的理论模型进行了详细的模拟分析,结果验证了期权契约在需求预测环境下的供应链协调过程中的有效性。

需求不确定下制造商为核心的三级供应链协调

在需求不确定的情境下,研究由单一供应商、制造商和销售商组成的三级供应链系统的协调问题。设计了制造商—销售商采用期权契约,制造商—供应商采用回购契约的联合契约协调机制,分析了集中控制、分散控制和协调机制下供应链系统的最优决策。最后,通过数值算例说明了机制设计的有效性,并对分析结果进行验证。研究结果表明,通过制定合理的契约参数可以使供应链各成员的期望利润相比分散决策时有帕累托改进,从而实现三级供应链系统的协调。

B2B电子市场下供应链期权合同协调模型与优化

研究B2B电子市场下双源渠道的供应链期权合同协调模型与优化问题.在需求不确定条件下,推导了传统供应链中分销商的最优批量定货量和最优期权购买量,以及供应商的最优生产量.建立了B2B电子市场下的供应链期权合同模型,结合长期合约的稳定性和现货采购的灵活性,讨论了分销商和供应商的最优决策.最后从渠道协调的角度,讨论了传统供应链和B2B电子市场下的期权合同能有效协调供应链的充分条件.

供应链单向及双向期权柔性契约比较分析

在随机市场需求环境下,对于易逝品供应链合作契约的数量柔性问题,建立了两种不同期权模式的柔性契约模型。通过对模型的求解与分析,得出了不同契约下销售商的订货策略,而且销售商在双向期权契约下比在单向看涨期权契约时的期权购买量要小,初始订货量要大,但总的预期订货量要小。销售商在两种期权契约模式下的总的最优订货量均大于传统订货方式下总的最优订货量。两种期权契约均可以提高销售商总的订货量,但在具体契约参数下,两者在接近供应链最优订货量上存在差异。

供应链中电子市场与合约市场的协调研究

供应链的供求关系可以建立在两个不同的交易方式上 ,一种是通过电子市场 ,另一种是通过合约市场 .这两种交易方式各有其优缺点 ,电子市场具有灵活性 ,但缺乏稳定性 ,合约市场则相反 .为了使供应商与制造商能够充分利用电子市场与合约市场的优点 ,设计了一种以期权合约为基础的协调机制 ,并且利用期权的思想 。

基于期权契约的供应链协调研究

供应链协调与优化一直都是供应链管理的核心议题之一。为分析供应链竞合背景下的供应链协调问题,验证期权契约对供应链的协调效果,文章在分析供应链基本运作的基础上,利用优化理论和方法构建了无契约协调时供应链的基准模型和期权契约下的供应链模型,通过有无契约时供应链及供应链成员利润的对比,分析说明期权契约的协调效果,通过不同决策模式下供应链及供应链成员利润分析,给出期权契约完全协调供应链的条件。在此基础上,进一步引入供应商间和零售商间的跨链补货,验证跨链补货策略对于提高供应链成员利润的有效性。