運用選擇權觀念於採購契約之研究

An Option-Based Supply Contract from Buyer’s Perspective

洪延欣(Yen-Hsin Hung)

指導教授 ： 蔣明晃 ； 郭瑞祥

國立臺灣大學/管理學院/商學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.00084

摘要

近年來，供應鏈體系的廠商為促進彼此之間的合作並協調整體的決策行為，多採用供應鏈契約來增進個別或整體供應鏈的利益。實務上已發展出各式各樣的供應鏈契約模式，如數量彈性供應鏈契約，來快速反應市場需求，同時有效降低成本，不論是需求不確定性或是市場價格的大幅波動，皆能透過該種類型的契約使得廠商所面對的風險降到最低的程度，並提升整體及個別的競爭力。然而，當產業中存在有一現貨市場供買賣雙方從事平常性交易時，運用選擇權觀念於買方採購契約的簽訂上，更能夠給予買方更大的決策彈性空間，而賣方也能透過權利金的收取以彌補出售權利或因契約所引發的額外成本。
本論文鑑於以往對運用選擇權觀念於供應鏈契約在研究上之不足，嘗試在產業中以買方為領導者且存在一現貨市場的情境下，建立一個由買方主導的選擇權採購契約模型，以深入探討買方在期望採購成本最小化及賣方在期望生產者剩餘最大化下，賣方的最適反應函數為何，而買方在獲知賣方反應函數的資訊下如何決定其最適總訂購量。本研究並透過比較買賣雙方簽訂與不簽訂契約所帶來的差異，尋求出選擇權採購契約成立的現貨市場價格區間範圍，以作為雙方決策時的參考。最後利用實驗設計的方式，探討市場價格平均數、市場價格標準差、賣方未來在現貨市場成孕X售之機率、賣方於現貨市場出售所需花費的固定處理成本及單位產品殘值等因子，對於契約成立區間寬度、賣方增額利益及買方增額利益的影響。
透過模型的分析與比較，可知選擇權採購契約符合成立條件下，的確對於買賣雙方個別利益有莫大的助益。透過該契約，買方可規避因為現貨市場價格上升導致採購成本提高的風險，而賣方也可利用該契約收取部分權利金，並將無法順利於現貨市場完全出售商品的風險降至最低；也就是說，選擇權採購契約可幫助買賣雙方規避自身的風險，並能夠帶給決策者更大的決策彈性，進而增加個別的實質利益。

關鍵字

選擇權 ； 供應鏈契約 ； 隨機模型

並列摘要

There are many types of supply contracts used in the practice of supply chain management. These different types of contracts are developed for the purpose of quickly responding to market demand and lowering supply chain costs. However, if there is a spot market existed for the buyers, signing a traditional supply contract may not be enough to lower the risk and improve buyer’s profit. Thus, we propose an option-based supply contract for the buyer. An option-based supply contract not only has advantages of giving more flexibility to the buyer’s purchasing decision, but also motivates the seller to provide such a contract which the seller can collect the premium to compensate for his loss or additional costs resulting from the contract.
In this thesis, a model of option-based supply contract for the buyer is formulated based on the scenario that a spot market is existed and the buyer is a leader in the channel. In order to figure out the optimal purchasing quantity of the buyer in the option-based contract, the seller’s reacting function needs to be developed first. Once the seller’s reacting function is known, the optimal decision for the buyer can be derived afterward. In addition, the feasible range of current price in the spot market such that a option-based contract will be existed is constructed for the reference of both buyers and sellers. Finally, experimental design is used to determine which factors have the greatest impact on the width of feasible range of current price in the spot market and the increased margin of the buyer and seller comparing to the situation without the option-based contract.
Through the results, we demonstrate that the option-based supply contract not only averts buyer’s and seller’s risks, but also increases individual’s profits significantly within the feasible range of current price in the spot market.

並列關鍵字

option ； stochastic model ； supply contract

參考文獻

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