基于三叉树期权理论的铁路货运定价模型

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.

Railway Freight Pricing Model Based on Trigeminal Tree

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.