隨機成本下供應鏈的評價──實質選擇權分析法

VALUATION OF A SUPPLY CHAIN UNDER STOCHASTIC COSTS - A REAL OPTIONS APPROACH

本文嘗試架構一個二階序列式動態供應鏈，在市場的現貨價格為隨機、供應商每單位商品的製造成本、零售商每單位商品的進貨成本與現貨價格連動的情況之下，以無窮期之連續時間型態的實質選擇權方法導出最佳決策下之二階序列式動態供應鏈價值的封閉解。
研究結果顯示，供應鏈商品出貨量與銷售量的最佳決策取決於現貨價格和供應商出貨給零售商之商品售價的門檻值、零售商賣給顧客之每單位商品售價的門檻值之間的關係，且市場的無風險利率和現貨價格報酬率的波動度與於最佳決策下之供應鏈價值呈正相關的現象，該結論與市場的無風險利率和現貨價格報酬率波動度的變化對單一公司價值的影響一致。

This article adopts a real options approach in a perpetual continuous-time framework to derive the closed-form solution for the optimal operating policy of a two-echelon sequential dynamic supply chain. In this model, we assume that the spot price of goods follows a stochastic process, the per-unit costs for both the supplier and the retailer depend on changes in the spot price, and the sales volume of goods is a strategic decision variable.
The research results indicate that the optimal decisions for shipping volumes and sales volumes in the supply chain depend on the relationship between the spot price, the threshold price at which the supplier sells products to the retailer, and the threshold price at which the retailer sells each unit of the product to customers.
We also examine the effects of the market risk-free rate and the volatility of the spot price return, both of which are found to be positively correlated with the value of the supply chain. Consistent results are observed at the individual firm level, where both the risk-free rate and return volatility of the spot price exhibit a positive correlation with firm value.