【作者】 易海波；

【导师】 龚朴；

【作者基本信息】 华中科技大学 ， 企业管理， 2006， 硕士

【摘要】 供应链是由供应商、制造商、销售商、顾客等元素组成的网络系统。供应链管理就是要对该网络系统中的物流、信息流和资金流进行综合管理,实现供应链整体绩效最优。由于现实供应链体系中存在多个不确定因素,因此对供应链的风险管理进行深入研究具有很大的理论和现实意义。在实际的供应链管理中,商品价格和市场需求的不确定性是管理者面临的最大难题,然而这些不确定性与金融市场中的证券风险具有很多相似的性质,由此人们将成熟的金融理念和金融工具引入到了供应链风险管理中来,通过创造类似远期、期权等供应合约,来达到分散风险,共享利益的目的。将期权等金融工具应用于供应链管理的一个突出问题在于如何设定合约价格。在以往的研究和实务中一般有两种处理方法,一是直接给定一个经验数值,二是建立优化方程内生化,求解得出一个优化解。上述方法都在很大程度上忽视了这些金融工具的内在价值。因此,从理论和应用中寻求一个更加有效的定价方法值得深入研究。本文在前人的研究基础上,建立一个包含远期和期权合约的供应模型,通过金融理论知识,应用无套利定价原理和风险中性定价方法来给远期和期权合约进行公平定价,然后根据实际情况进行一定的调整,使得这些合约工具能真正体现其内在的价值,同时达到优化供应渠道的效果。本文在假设商品市场价格服从几何布朗运动的条件下,建立单销售商、单供应商的多期供应模型,通过动态随机规划来优化供销双方的决策,应用AMPL语言进行数学建模,通过CPLEX优化器进行数值计算,得出了供应商和销售商的利润最大化策略及期权价值。本文通过数值案例模拟,说明期权合约可以给销售商带来巨大的采购弹性,规避现货市场的价格风险,降低采购成本;同时给供应商带来很大的生产柔性,增加额外的收入。更多还原

【Abstract】 Supply chain is two or more parties linked by a flow of goods, information, and funds. Supply Chain Management is to manage the flow of materials, information and funds across the entire supply chain, from supplier to component producers to final assemblers to distribution, and ultimately to the consumers. As there are lots of uncertain factors in the practical world, it is very significative to research the supply chain risk management.The uncertainty of the price and demand of the commodity are the biggest problems of the supply chain management, as the same as the uncertainty of the price in the finance market. In the financial field, people have created many tools to evade the risk, such as futures, options and so on. Use such tools especially the options to manage the supply chain have a good sense.The application of the financial tools like option in the supply chain management can bring many advantages to both of the supplier and the buyer. First it can provide flexibility to the buyer to respond to market changes. Second it can let a supplier make more flexible production schedule. Third it can coordinate the channel of the supply chain. And at last it can bring extra profits to both sides.The application of the option contracts in supply chain has a big problem that is how to price the option contract. There are two main solve methods in the foregoing research. The first one is to use a numerical value, and the other is to build a optimized model to gain a superior value. The above two methods both have a big problem that they neglect the inherent value of the option. Another problem in the supply chain management is how to deal with the leftover goods. One method is to solve it by buyer and the other is to return to the supplier under a discount price. The latter method is used more comment. However it also has a problem in that method that is how to set the discount price. In fact the return policy is a put option given to the buyer by supplier. It contains great value.Base on the frontal two problems we build a model that contains single buyer and single supplier, the two sides sign a compound option contract and a future contract to cooperate. We use the Risk-neutral Pricing Theory and the Non-arbitrage Pricing Principle to price the contract. We build a dynamic stochastic programming to prove the validity of the model and the rationality of the contract’s price. We analyze a simulant case and we find that the option contract can bring flexibility and profits to both buyer and supplier. It also can coordinate the supply chain channel.更多还原