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Bidirectional options in random yield supply chains with demand and spot price uncertainty
Annals of Operations Research ( IF 4.8 ) Pub Date : 2021-03-24 , DOI: 10.1007/s10479-021-03986-5
Jiarong Luo , Xu Chen , Chong Wang , Gaoxun Zhang

This article develops a game-theoretic model to value the bidirectional option in a one-manufacturer and one-component-supplier system. The production process of the supplier is subject to random yield. The manufacturer contracts the supplier with bidirectional options to obtain components, and assembles them into end products to meet a stochastic demand. In addition, both firms can sell or/and buy the components on a spot market. First, the unique optimal order and production strategies of the decentralized system under bidirectional option contracts are derived. Second, resorting to numerical example and comparing the bidirectional option model with the call option model, we find that the manufacturer’s optimal firm and total order as well as expected profit under bidirectional options are larger than that of under call options, but the option quantity has the opposite tendency. The supplier’s optimal production quantity are larger under bidirectional options than that of under call options, but only when the option (exercise) price exceeds a certain value, the supplier’s expected profit under bidirectional options will be larger than that of under call options. Third, the coordination of the decentralized system under bidirectional option contracts is analyzed and a coordination mechanism with the contract is designed.



中文翻译:

具有需求和现货价格不确定性的随机收益率供应链中的双向选择

本文开发了一种博弈论模型,以评估一个制造商和一个组件供应商系统中的双向选项。供应商的生产过程随机产生。制造商通过双向选择权与供应商签约以获取组件,并将它们组装成最终产品以满足随机需求。此外,两家公司都可以在现货市场上出售或购买零件。首先,推导了双向期权合约下分散系统的独特最优定单和生产策略。其次,借助数值示例并将双向期权模型与看涨期权模型进行比较,我们发现制造商的最优公司和总订单以及在双向期权下的预期利润要比在看涨期权下的最优。但是期权数量却有相反的趋势。在双向期权下,供应商的最优产量要比在看涨期权下的最优产量要大,但是只有当期权(行使)价格超过一定值时,在双向期权下供应商的期望利润才会比在看涨期权下的期望利润要大。第三,分析了双向期权合同下的分散系统的协调,设计了与合同的协调机制。

更新日期:2021-03-24
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