A Value-Based Approach to Option Pricing: The Case of Supply Chain Options
A Value-Based Approach to Option Pricing: The Case of Supply Chain Options
复制标题
DOI：
10.1016/j.ijpe.2013.01.004
复制
发表时间：
2013-05
影响因子：
12
通讯作者：
Yingxue Zhao;Liu Yang;T. Cheng;Lijun Ma;Xinjian Shao
中科院分区：
文献类型：
--
作者：
Yingxue Zhao;Liu Yang;T. Cheng;Lijun Ma;Xinjian Shao
第六章探讨了供应链期权的定价问题。在经典的研究中，这个问题通常被认为是在Stackelberg博弈框架。然而，这样的定价方案通常是追随者无法接受的，因为领导者总是获得期权产生的所有盈余。与现有文献不同的是，本章提出了一个基于价值的供应链期权定价方案，包括单个零售商和多个零售商两种建模场景。这种定价方案背后的直觉是根据期权权利的内在价值为期权定价。如研究所示，这样的定价方案可以确保每个签约伙伴都能从期权中获得一部分盈余。因此，本章中制定的定价方案比遵循斯塔克尔伯格博弈方法的定价方案更客观和公平，因此更有可能被订约伙伴接受。
Chapter 6 explores the pricing issue for supply chain options. In classical research, this issue is generally considered in the Stackelberg game framework. Such a pricing scheme, however, is usually unacceptable to the follower since the leader always captures all the surplus derived from the options. Being different from the existing literature, this chapter develops a value-based pricing scheme for supply chain options with two modeling scenarios including a single retailer and multiple retailers. The intuition behind such a pricing scheme is to price the option based on the value inherent in the option right. As shown in the research, such a pricing scheme can assure that each of the contracting partners captures a share of the surplus derived from the options. As a result, the pricing schemes developed in this chapter are more objective and fair and consequently are more likely to be accepted by the contracting partners as compared with those that follow the Stackelberg game approach.