运筹与管理2016，Vol.25Issue(6)：1-10,10.DOI:10.12005/orms.2016.0194
基于CVaR测度和期权市场化定价的供应链协调研究
Study of Supply Chain Coordination Based on CVaR and Market-Oriented Option Pricing
摘要
Abstract
This article studies the coordination problem in a supply chain that consists of a risk-neutral supplier and a risk-averse retailer based on Conditional Value-at-Risk(CVaR)and Market-Oriented Option Pricing rules. First,an objective function that contains a risk aversion coefficient of retailer is established in a CVaR frame-work,and the relationship between the parameters of option that can coordinate supply chain is derived.Then according to Black-Schoels Model,the relationship between the parameters of option that can meet Market-Oriented Option Pricing rules is derived.Through the above two conditions,we prove the existence of a option combination(o*,e*)which can meet the requirement of supply chain coordination condition and Market-Oriented Option Pricing rules simultaneously,it means that the option contract can coordinate supply chain very well under the Market-Oriented Pricing rules.Besides,we also analyse the effect of relevant parameters on option contract and the profit of Supply chain participants.Lastly,an numerical example is given to prove the peroration mentioned above.关键词
供应链协调/期权契约/Black-Schoels模型/CVaRKey words
supply chain coordination/option contract/black-schoels model分类
管理科学引用本文复制引用
蔡鑫,孙静春..基于CVaR测度和期权市场化定价的供应链协调研究[J].运筹与管理,2016,25(6):1-10,10.基金项目
国家自然科学基金产能影响下的光伏供应链风险池效应研究（71372164）；长江学者和创新团队发展计划（IRT1173）；中央高校基本科研业务费专项基金项目 （）
