结合期权合约与现货市场的原材料采购风险管理

通过建立一个两时点的采购模型,研究在原材料价格波动下一个风险规避制造商的最优组合采购策略.制造商可利用期权合约购买原材料,或者从现货市场采购.研究结果表明,最优期权购买数量受到风险规避程度、期权费以及执行价格的影响.最优购买数量与决策者风险规避程度之间的关系受到期权定价影响；最优购买数量随着期权购买费或执行价格的增加而减少.最后,通过比较说明,采用组合采购策略可以提高制造商的均值-方差效用水平.

Procurement Risk Management of Raw Materials via Combined Use of Option Contracts and Spot Markets

A two-period model is proposed to investigate optimal combined purchasing strategies for a risk-averse
manufacturer in an environment of uncertain raw material prices. The manufacturer can buy raw materials via option contracts, or from a spot market. The research results show that the optimal options purchasing quantity is influenced by the degree of risk aversion, the option premium and the exercise price. The relationship between the optimal purchasing quantity and the degree of risk aversion is affected by option prices. And the optimal purchase quantity decreases as the option premium or exercise price rises. Finally, it is demonstrated by comparison that the mean-variance utility of the manufacturer can be improved by using a combined purchasing strategy.