供应链合约复合期权定价分析-pricing analysis of composite options in supply chain contracts.docxVIP

AbstractWith the great demand uncertainty, retailers ordering strategy and supplier’s supplying strategy are facing great risks in supply chain; so it is a problem to design a risk-sharing strategy for both of them. As the supply chain system is also facing commodity price and demand uncertainty, it is feasible to introduce financial products to the supply chain management. Option has a high flexibility, which is favored by scholars, and it becomes a new form to achieve supply chain coordination and revenue sharing.This paper establishes a compound option model with a resale provision and American option provision, which gives the holder prior to buy goods at an agreed price before the maturity of the American option, furthermore to return the remaining product in the end of the sales season. This paper prices the option contract through the no-arbitrage pricing theory and the risk-neutral theory, and summarizes the influence of parameters on option value. Numerical results show that: First, resale provision can increase the retailer’s order quantity, and reduce the retail price, thus ease the supply chain double marginalization effect and increase the suppliers sales; Secondly, the provision of American option increases the value of contract, provides retailer with greater flexibility and efficiency in face of uncertain demand; Finally, the article summarizes the influence of expiration time, the exercise price, resale price, volatility and risk-free interest rates on the value of compound option.The main contributions are: (1) The article introduces option mechanism into supply chain risk management, which forms the risk dispersion and profit redistribution mechanism. (2) Application of finite element method to price the American option with complex provisions demonstrates its stability and effectiveness. (3) We sums up the influence of factors on option value.Key words: Supply chainCompound optionsFinite elementAmerican option目录摘要.................................