工业工程2025，Vol.28Issue(5)：102-113,12.DOI:10.3969/j.issn.1007-7375.240302
期权契约下考虑风险规避的供应链融资与定价决策
Financing and Pricing Decisions in A Supply Chain with Risk-aversion under Option Contract
摘要
Abstract
In a two-level supply chain comprised of a capital-constrained retailer with risk-aversion and a supplier,this paper adopts the conditional value-at-risk(CVaR)to characterize the retailer risk-aversion and develop a game model.Under supplier credit guarantees,option pricing of the supplier and the optimal ordering decisions of the retailer are studied with two financing modes:bank loans and delayed payments.Furthermore,the choice of financing modes for the retailer is explored,while the impact of retailer risk-aversion degrees and financing interest rates on equilibrium decisions is analyzed.Results show that the retailer risk-aversion degree affects its financing choice.If the risk-aversion coefficient is below a certain threshold,the retailer prefers partial credit loans,whereas a higher coefficient leads to the choice of delayed payments.The optimal option prices and ordering quantities increase with the rise of the risk-aversion coefficient under both financing modes.The CVaR of the retailer decreases with the increase of the bank loan interest rate but is independent of delayed payment interest rates.In addition,the retailer risk-aversion must be within a certain range,otherwise,the supply chain operation cannot be sustainable.Finally,the theoretical results are verified by numerical analysis.关键词
风险规避/期权契约/信用担保/融资决策/定价决策Key words
risk-aversion/option contract/credit guarantee/financing decision/pricing decisions分类
管理科学引用本文复制引用
邹清明,张雪,李玉琼..期权契约下考虑风险规避的供应链融资与定价决策[J].工业工程,2025,28(5):102-113,12.基金项目
国家自然科学基金资助项目(71974091) （71974091）
湖南省自然科学基金资助项目(2023JJ50134,2022JJ30498) （2023JJ50134,2022JJ30498）
