南京审计学院学报
南京審計學院學報
남경심계학원학보
2015年
1期
48~56
,共null页
期权合约 存货管理 价格波动风险 最优期权合约交易量 经营利润 金融衍生产品 风险管理
期權閤約 存貨管理 價格波動風險 最優期權閤約交易量 經營利潤 金融衍生產品 風險管理
기권합약 존화관리 개격파동풍험 최우기권합약교역량 경영리윤 금융연생산품 풍험관리
option contracts ; inventory management; price fluctuations risk; optimal option contracts trading volume ; operating profit; financial derivatives; risk management
在分析利用期权合约规避价格波动风险的原理的基础上,分别给出存货购销两个环节中可以运用的期权策略,然后利用均值-方差模型计算使投资组合达到效用最大化时所对应的最优期权合约交易量及其对经营利润的影响,研究发现：在存货采购环节,企业可以通过购入看涨期权、购入看涨期权同时售出看跌期权两种策略控制采购价格波动的风险,在存货销售环节,企业可以通过购入看跌期权、同时购入看跌期权并售出看涨期权两种策略来稳定销售利润;从最优期权合约交易量及其对企业经营利润的影响来看,期权工具在控制存货采购价格、稳定销售利润中可以发挥良好作用。
在分析利用期權閤約規避價格波動風險的原理的基礎上,分彆給齣存貨購銷兩箇環節中可以運用的期權策略,然後利用均值-方差模型計算使投資組閤達到效用最大化時所對應的最優期權閤約交易量及其對經營利潤的影響,研究髮現：在存貨採購環節,企業可以通過購入看漲期權、購入看漲期權同時售齣看跌期權兩種策略控製採購價格波動的風險,在存貨銷售環節,企業可以通過購入看跌期權、同時購入看跌期權併售齣看漲期權兩種策略來穩定銷售利潤;從最優期權閤約交易量及其對企業經營利潤的影響來看,期權工具在控製存貨採購價格、穩定銷售利潤中可以髮揮良好作用。
재분석이용기권합약규피개격파동풍험적원리적기출상,분별급출존화구소량개배절중가이운용적기권책략,연후이용균치-방차모형계산사투자조합체도효용최대화시소대응적최우기권합약교역량급기대경영리윤적영향,연구발현：재존화채구배절,기업가이통과구입간창기권、구입간창기권동시수출간질기권량충책략공제채구개격파동적풍험,재존화소수배절,기업가이통과구입간질기권、동시구입간질기권병수출간창기권량충책략래은정소수리윤;종최우기권합약교역량급기대기업경영리윤적영향래간,기권공구재공제존화채구개격、은정소수리윤중가이발휘량호작용。
On the basis of analysis of the principle of using option contracts to avoid the price fluctuations risk, this paper shows the option strategies available in inventory purchasing and selling processes. Then, the mean-variance model is used to determine the optimal option contracts trading volume which maximize the utility of the investment portfolio and its impact on operating profit. The conclusions are as follow： strategies like purchasing call options and the combination of purchasing call options and selling put options in inventory purchasing process can avoid purchasing price fluctuations risk; strategies like purchasing put options and the combination of purchasing put options and selling call options in inventory selling process can stabilize sales profits; from the aspect of the optimal option contracts trading volume and its impact on the operating profit, we find options play a good role in controlling purchase prices and stabilizing sales profits.
