基于三叉树期权理论的铁路货运定价模型

交通运输系统工程与信息 ›› 2014, Vol. 14 ›› Issue (4): 194-200.

基于三叉树期权理论的铁路货运定价模型

郭经纬，彭其渊^*

西南交通大学交通运输与物流学院，成都610031

收稿日期:2013-11-06 修回日期:2014-02-24 出版日期:2014-08-25 发布日期:2014-09-16
作者简介:郭经纬（1986-），男，河南洛阳人，博士生.
基金资助:
铁道部科技研究开发计划（2014X009-K）

Railway Freight Pricing Model Based on Trigeminal Tree

GUO Jing-wei, PENG Qi-yuan

School of Transportation and Logistics，Southwest Jiaotong Universiy，Chengdu 610031，China

Received:2013-11-06 Revised:2014-02-24 Online:2014-08-25 Published:2014-09-16

摘要/Abstract

摘要：

将期权理论引入铁路货运定价活动，构建基于运输企业和期权客户期望最大化的多期三叉树定价模型，分析铁路运输企业的最优定价决策及期权客户的最优购买决策.研究结果表明：最优期权订购量是关于期权执行价格和期权价格的严格单调递减函数，而期权执行价格与现货市场运价、短期准备成本、无风险利率正相关，与长期准备成本负相关.通过算例的敏感性分析，发现当期权执行价格升高幅度超过10%时，期权客户的期权购买量下降梯度迅速增加，相比于期权价格，期权执行价格对期权客户的期权执行量具有更强的敏感性，因此铁路运输企业应关注期权执行价格的制定.

关键词: 交通运输经济, 期权定价；三叉树模型；执行价格；期权契约

Abstract:

Introducing the option theory into railway freight pricing activities, this paper establishes a multi-phase trigeminal tree pricing model to maximize the expectation of transportation enterprise and contract customers. It then analyzes the optimal pricing decision of the railway transportation enterprise and compares customers’optimal purchase decisions. The results show that: the optimal ordering quantity of option is a strictly monotone decreasing function to option price and exercise price. A positive correlation is identified between strike price and spot market freight, short- term preparation cost, as well as risk- free interest rate; the correlation between strike price and long-term preparation cost is negative. The case study illustrates that the option purchases will get a rapid reduce when the strike price rise more than 10%. Meanwhile, compared to the option price, options strike price has stronger sensitivity to the number of options execution. Thus, the railway transport enterprise should focus on the options exercise price.

Key words: transportation economy, option pricing, trigeminal tree model, exercise price, options contract

中图分类号:

F532.5

郭经纬，彭其渊. 基于三叉树期权理论的铁路货运定价模型[J]. 交通运输系统工程与信息, 2014, 14(4): 194-200.

GUO Jing-wei, PENG Qi-yuan. Railway Freight Pricing Model Based on Trigeminal Tree[J]. Journal of Transportation Systems Engineering and Information Technology, 2014, 14(4): 194-200.

导出引用管理器 EndNote|Ris|BibTeX

链接本文: http://www.tseit.org.cn/CN/abstract/abstract18837.shtml

http://www.tseit.org.cn/CN/Y2014/V14/I4/194

参考文献

[1] Pasternack B A. Optimal pricing and return policies for perishable commodities [J].Marketing Science, 1985, 4 (2):166-176.

[2] Emmons H, Gilbert S M. The role of returns policies in pricing and inventory decisions for catalogue goods [J].Management Science, 1998,44(2):276-283.
[3] Eppen G D, Iyer A V. Backup agreements in fashion buying- the value of upstream flexibility [J]. Management Science, 1997, 43(11): 1469-1484.
[4] Tsay A. The quantity flexbility contract and suppliercustomer incentives [J]. Management Science,1999,45(10):1339-1358.
[5] Barnes-Schuster D，Bassok Y，Anupindi R. Coordination and flexibility in supply contracts with options [J].Manufacturing&Services Operations Management,2002, 4(3):171-207.
[6] Feng Cheng, Markus Ettl, Grace Y Lin, et al. Flexible supply contracts via options [P]. IBM TJ Watson Research Center Working Paper. 2003, 87:92-97.
[7] Wu D J，Kleindorfer P R，Zhang J E.Optimal bidding and contracting strategies for capital- intensive goods[J]. European Journal of Operational Research. 2002,137(3):657-676.
[8] Stefan S, Huchzermeier A, Klerndorfer P. Risk hedging via options contracts for physical delivery [J]. OR Spectrum, 2003, 25(3):1-17.
[9] Wang Qun-zhi，Tsao De-bi. Supply contract with bidirectional options: The buyer’s perspective [J]. International Journal of Production Economics，2006,101(1):30-52.
[10] Steen Koekebakker, Roar Adland, Sigbjørn Sødal. Pricing freight rate options[J].Transportation Research Part E, 2007,43(5): 535-548.
[11] Koichiro Tezuka, Masahiro Ishii, Motokazu Ishizaka. An equilibrium price model of spot and forward shipping freight markets [J]. Transportation Research Part E.2012,48(4):730-742.
[12] Nikos K Nomikos, Ioannis Kyriakou, Nikos C Papapostolou, et al. Freight options: Price modelling and empirical analysis[J]. Transportation Research Part E.2013,51:82-94.
[13] 冯芬玲,李菲菲.基于期权理论的铁路货运定价模型[J].铁道科学与工程学报, 2012, 9(2):72-78.[FENG F L，LI F F. Pricing model of railway cargo transport based on option theory [J]. Journal of Railway Science and Engineering. 2012,9(2):72-78.]
[14] 王晓林,杨招军.基于效用的永久性可转换债券定价[J]. 管理科学, 2013, 26(3):100- 107.[WANG X L，YANG Z J. Permanent convertible bonds pricing based on utility theory[J]. Journal of Management Science.2013, 26(3):100-107.]

[1]	王健, 王慧, 胡晓伟, 李园园. 高峰期考虑乘客议价的网约车定价与平台收益及社会福利优化[J]. 交通运输系统工程与信息, 2022, 22(2): 54-63.
[2]	王景鹏, 祝蕊, 王鹏飞. 需求不确定下的网约车司机最优工资水平研究[J]. 交通运输系统工程与信息, 2022, 22(2): 178-185.
[3]	徐素秀, 谢冰, 秦威, 程会兵. 电动汽车充电与换电模式定价及投资策略[J]. 交通运输系统工程与信息, 2021, 21(5): 183-189.
[4]	鲁皓, 卢鑫, 焦柳丹. 收费公路资产证券化定价及发行方法研究[J]. 交通运输系统工程与信息, 2021, 21(4): 40-46.
[5]	王永, 谭克虎, 张娟. 基础设施公私合营模式融资影响因素及空间溢出效应研究[J]. 交通运输系统工程与信息, 2021, 21(4): 47-53.
[6]	吴贞瑶，帅斌，左博睿. 通货膨胀下高速公路公私合营项目的收入调节研究[J]. 交通运输系统工程与信息, 2021, 21(1): 156-161.
[7]	杨亚璪，李全森. 基于面板数据的乘用车购买偏好分析[J]. 交通运输系统工程与信息, 2021, 21(1): 227-232.
[8]	彭勇，高鹤. 带时间窗的多行程交换箱甩挂路径优化[J]. 交通运输系统工程与信息, 2020, 20(1): 166-174.
[9]	梁喜，陈月. 基于客流量和车公里的城市公共交通混合财政补贴优化模型[J]. 交通运输系统工程与信息, 2019, 19(3): 41-47.
[10]	高永峰，四兵锋. 基于需求弹性的城市公交票价优化方法及实证分析[J]. 交通运输系统工程与信息, 2019, 19(3): 163-168.
[11]	李杰梅，吴浩，刘陈，郝京京 . 边境城市跨境可达性对口岸经济的影响机理[J]. 交通运输系统工程与信息, 2019, 19(2): 30-36.
[12]	孙湘湘，周小亮. 交通基础设施投资、要素市场扭曲和经济增长[J]. 交通运输系统工程与信息, 2019, 19(1): 13-18.
[13]	吴桐雨，王健. 基于多层复杂网络的物流枢纽城市多尺度分析及发育评价[J]. 交通运输系统工程与信息, 2019, 19(1): 33-39.
[14]	任晓红，徐彩睿，任其亮，但婷 . 交通基础设施收入效应的门槛值分析：以西部11省区农村为例[J]. 交通运输系统工程与信息, 2018, 18(6): 28-34.
[15]	席好宁，张一，何流，张毅. 面向多用户类的拥堵和排放收费方案研究[J]. 交通运输系统工程与信息, 2018, 18(6): 140-147.