基于期权理论的铁路货运定价模型

为了规避铁路运输企业和协议客户在市场价格波动情况下所面临的风险,在铁路货运的定价过程中引入期权的概念,利用二叉树模型为期权定价,在此基础上构建了基于铁路运输企业和协议客户收益最大条件下的铁路货运定价模型。研究结果表明:通过铁路运输企业和协议客户的最优定价决策可以求得铁路运输企业制定的协议价格和协议客户的期权购买量;协议价格与现货市场价格正相关,与铁路运输企业的长期准备成本正相关、短期准备成本负相关;随着期权价格和期权执行价格的升高,协议客户在契约市场所购买的期权数量逐渐减少。

Pricing model of railway cargo transport based on option theory

In the course of rail freight pricing introduces the concept of options was introduced,and using the binary tree price,the model was constructed based on maximun return for the railway transport sector and the customer,thereby the risks of the rail transport sector and clients in the case of market price volatility was avoided.The results show that the optimal pricing decisions of the rail transport and clients can obtain the stock market prices and the quantity of options.The stock market prices is positive to the spot market prices,long-term cost while negative to the short-term cost;as the option prices and the option of executive price increases,the quantity of options of freight agent is reduced.