期权在供应链风险管理中的应用

200577:100026788(2005)0720049206,(,200433):,..,,..,.,.:;;;;:F40617:ATheApplicationofOptionsinSupplyChainRiskManagementNINGZhong,DAIJun2jun(ManagementSchool,FudanUniversity,Shanghai200433,China)Abstract:Thispaperexplorestheapplicationofoptionsinsupplychainriskmanagementwhenconsumerdemandisuncertain.Theanalysisisbasedonanenvironmentinvolvingasinglesupplierandmultipleretailers.Eachretailercaneitherbuyproductdirectlyfromthesupplier,orpurchaseoptionsonproduct.Anoptiongivestheretailertherighttobuyanadditionalunitofproduct.Wefirstderiveoptimalreplenishmentpoliciesfortheretailers,theoptimalproductionpolicyforthesupplier.Wethenshowhowoptionsenhanceinformationflows,encouragerisksharing,andimprovesupplychainefficiency.Thepaperincludesadiscussionofhowoptionscanbeusedtoaligntheincentivesofsupplychainpartners,andtoimprovesupplychainresponsivenesstochangesinthebusinessenvironment.Keywords:supplychainriskmanagement;option;replenishmentflexibility;risksharing;informationsharing:2004207220:(J259):(1964-),,,,:;E2mail:[e-mail].0,.90,.,[1].,.,.,,[2,3].,[24].,,,:(buy2backpolicies)(backupagreements)(quantityflexibility)[57].Barnes2Schuster[3].[8],,.,.©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.1n,.(0).,,,,.t.0,:(calloption).,iWQi,0.iCqi,t(0t)X.M,R().,,Di,f(Di),F(Di),,()S..iQi,qi,,Y.,Ni=1QiNi=1(Qi+qi),,YNi=1(Qi+qi),,,P.,:MWC+XR,(1)PMS,(2)XS,(3),(3),XS,..1110i:Qiqi,Ti=Qi+qii.,QiqiQiTi.Qi,Qi,,:ERi(Qi,qi)=EDi[Rmin(Di,Ti)+S(Qi-Di)+-WQi-Cqi-Xmin(qi,(Di-Qi)+)].(4)qi=Ti-Qi(4),QiTi:ERi(Qi,Ti)=(X+C-W)Qi-(R-S)Qi0F(Di)dDi+(R-X-C)Ti-(R-X)TiQiF(Di)dDi.(5)QiTi,(1)(3),:QiTi,,:1Q3ii,T3i(),Q3iT3i:F(Q3i)=Pr(DiQ3i)=X+C-WX-S.(6)F(T3i)=Pr(DiT3i)=R-X-CR-X.(7)0520057©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.Q3iT3i,C(W-S)(R-X)R-S,,,,C..,iQNVi:F(QNVi)=Pr(DiQNVi)=R-WR-S=CuCu+C0,(8)Cu=R-W,Co=W-S,(6)(7).112,Y(W,C,X)(,),:(a)(W,C,X);(b)i(6)(7)(Qi,qi);(c)Y,Qii,Y-ni=1Qi;(d),,.Di,zi=Qi+min[qi,(Di-Qi)],,Z=ni=0zi.fz(z)FZ(z)Z,,i:ESi(Y,W,C,X)=EDi{WQ3i+Cq3i+Xmin[q3i,(Di-Q3i)+]+S(Y-Z)+-P(Z-Y)+-MY}.(9)(W,C,X),:2(W,C,X),Y3i:FZ(Y3i)=Pr(ZY3i)=P-MP-S.(10)Y3=minNi=1(Q3i+q3i),maxNi=1Q3i,Ni=1Y3i.(11)(10),,Cu=P-M,Co=M-S.,.,Y3(W,C,X).2.,(N=1),-.,i,.211,,.BarnesSchuster,[5].213,.,,,,30%157©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.50%[9].212,.,,.,,W[10].,.(),.,(doublemarginalization).Q,(R-M)Q,,.,.(9),QNVi=F-1R-WR-S,,MW,,Q1i=F-1R-MR-S,MW,Q1iQNVi,.W,(X,CP),,.iTiQ1i,(7)XC,:R-X-CR-X=R-MR-S.(12)(12)iTi.,PY3i=T3i,Y3ii,2:P-MP-SR-X-CR-X.(13)(12)(13),,(12)(13)PR,,.213,,,;,,,...,,,.,,(C+X),,W.,.Qiqi,,.,,,.,:1);2).212,,.214,,.i2ii,2520057©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.(i)(i),(R,W,S,C,X,MP),(6),(7)(12),CQ3i,CT3i,CY3i.3i:1)=i+i-1(C),=CQ3i,CT3i,CY3i;2)q3iT3i=-1(CT3i)--1(CQ3i)iPi+-1(CT3i);3)Y3i,Q3i,q3i,Y3i=Q3i+q3i,i2i.3,1)iii.2)iq3iT3iq3iPT3iiPi.3),.i(Q3i,q3i),P,P,T3i;,Q3i;3,,Q3i+q3i.,,.3),(Q3i,q3i),Q3iq3i,,.3,,.:,.:,,.,.,.,.,,(),.4,[1].,,,.,,,,.,.,:1.(C,X,W,P),;2...:[1]WilliamsGrey,DailunShi.Aglobalintegratedapproachforvaluechainriskmanagement[J].IBMSystemJournal,2003,(3):23-49.[2].[J].,2002(1):42-44.ZhangXizheng.Thesupplychaincrisisandoperationalriskofenterprises[J].TechnologyEconomics,2002,(1):42-44.[3]Barnes2Schuster,BassokDY.Coordinationandflexibilityinsupplycontractswithoptions[J].ManufacturingandServiceOperations357©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.Management,2002,4(3):171-207.[4]Tayur,GaneshanR.QuantitativeModelsforSupplyChainManagement[M].KluwerAcademicPublishers,London,U.K.1999.[5]EppenG,IyerA.Backupagreementsinfashionbuying-Thevalueofupstreamflexibility[J].ManagementScience,1997,43(11):1469-1484.[6]BassokY,SirnivasanR.Designofcomponentsupplycontractswithcommitmentrevisionflexibility[J].IBMJournalofResearchandDevelopment,1997,41(6):67-85.[7]Cachon,MLariviere.Contractingtoassuresupply:howtosharedemandforecastsinasupplychain[J].ManagementScience,2001,47(5):629-646.[8]WilliamsGrey,DailunShi.Theimpactofoptionsonsupplychainmanagement[J].IBMSystemJournal,2004,(1):34-58.[9]HunterN,RKing.Evaluationoftraditionalandquickresponseretailingproceduresusingstochasticsimulationmodel[J].JournaloftheTextileInstitute,1996,87(1):42-55.[10]TaylorT.Channelcoordinationunderpriceprotection,midlifereturns,andend2of2lifereturnsindynamicmarkets[J].ManagementScience,2001,47(9):1220-1234.:232:(W,X,C),:dS(Y)dY=(P-M)+(S-P)FZ(Y).(A1)(S-P),,,0,Y3i:FZ(Y3i)=Pr(ZY3i)=P-MP-S.(A2)(A2)Y3iNi=1QiYNi=1(Qi+qi),,Y3:Y3iNi=1Qi,Y3=Ni=1Qi;Ni=1QiY3iNi=1(Qi+qi),Y3=Y3i;Y3iNi=1(Qi+qi),Y3=Ni=1(Qi+qi).2.3:N=1,2F(Y3i)=Pr(DiY3i),=i+i,F()=-ii,31),q3iT3i=T3i-Q3iT3i,1)2),=Y3i-Q3iT3i-Q3i,1)3),,Y3i=Q3i,=0;Y3i=T3i,=1.4520057©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.