| 基于期权理论的国际海上集装箱运输协议动态定价决策 |
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| 引用本文： | 殷明,郑士源,丁以中,王学锋.基于期权理论的国际海上集装箱运输协议动态定价决策[J].系统工程理论与实践,2012,32(10):2297-2305. |
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| 作者姓名： | 殷明 郑士源 丁以中 王学锋 |
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| 作者单位： | 1. 上海海事大学 交通运输学院, 上海 201306;2.上海海事大学 科学研究院, 上海 201306 |
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| 基金项目： | 国家自然科学基金(70871075);教育部人文社会科学研究青年基金(10YJC630412);上海市重点学科建设项目(S30601);上海海事大学科研基金(20120113) |
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| 摘 要： | 考虑到市场竞争的日益规范与激烈, 尤其是近年来航运衍生市场的迅猛发展, 将价格视为外生变量, 基于期权理论, 提出了国际集装箱海运企业运输协议动态定价的决策方法, 建立了附带美式认购/认沽期权且符合现行法律体系规定的国际海上集装箱运输协议动态定价决策模型. 基于伊藤引理及其相关性质, 通过微分方程变换, 实现了模型的有效求解. 结合算例, 给出了较为详尽的参数获取与估值方法. 通过对算例的求解, 分析了在附带美式认购/认沽期权的运输协议中, 相关因素对运输协议动态定价决策的影响机理, 模型的有效性也同时得到了较好的验证.
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| 关 键 词： | 期权理论 动态定价 集装箱海运 运输协议 伊藤引理 决策 |
| 收稿时间： | 2010-07-15 |
Dynamic pricing decision-making of service contracts for international container ocean shipping based on option theory |
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| YIN Ming a,ZHENG Shi-yuan a,DING Yi-zhong b,WANG Xue-feng.Dynamic pricing decision-making of service contracts for international container ocean shipping based on option theory[J].Systems Engineering —Theory & Practice,2012,32(10):2297-2305. |
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| Authors: | YIN Ming a ZHENG Shi-yuan a DING Yi-zhong b WANG Xue-feng |
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| Institution: | 1. College of Transport and Communications, Shanghai Maritime University, Shanghai 201306, China;2. Scientific Research Academy, Shanghai Maritime University, Shanghai 201306, China |
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| Abstract: | Considering the more and more regular and fierce market competition and especially the tremendous development of shipping derivative market in recent years,a method of dynamic pricing decision-making of service contracts for international container ocean shipping based on option theory, with prices as external variables,was put forward.A model with American put/call options and complying with the current legal regime was built for dynamic pricing decision-making of service contracts for international container ocean shipping.On the basis of Ito Lemma and its properties concerned,the model was solved through transferring relevant differential equations.Based on certain numerical examples,the obtaining and estimation method of key parameters was described in detail.The affecting mechanism of relevant factors involved in service contracts with American call/put options was analyzed by solving the numerical examples;meanwhile,the effectiveness of the model was testified. |
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| Keywords: | option theory dynamic pricing container ocean shipping service contract Ito Lemma decision-making |
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