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題名 供應鏈的評價：實質選擇權分析法
Evaluation of a supply chain:a real pptions approach
作者 王偉弘
Wang, Wei Hong
貢獻者 廖四郎
Liao, Szu Lang
王偉弘
Wang, Wei Hong
關鍵詞 動態供應鏈
實質選擇權
聯合利潤
門檻值
隨機匯率
外銷專案
dynamic supply chain
real option
joint profits
threshold
stochastic exchange rate
exporting project
日期 2008
上傳時間 14-Sep-2009 09:33:37 (UTC+8)
摘要 本論文主要是以實質選擇權分析法對在最適決策下供應鏈及公司的價值進行評價。內容包含兩篇文章。第一章為緒論；第二章與第三章為主文。在此兩章中
     ，我們會先介紹研究動機、目的與文獻探討，接著架構模型，據以求出於最適決策下供應鏈或公司價值的封閉解後，以比較靜態分析法分析各參數對供應鏈或公司價值的影響。第四章為總結。
第一篇文章為對在隨機成本下供應鏈的評價。該模型是以單一供應商、單一零售商與多個消費者組成之垂直整合的二階段序列式動態供應鏈為架構，假設市場的現貨價格為動態過程，供應商和零售商每單位商品的成本為隨現貨價格變動的隨機成本。在此模型中，供應鏈的經營者以銷售量為決策，聯合利潤最大化為目標。此外，存貨設定在零售商的一方，而零售商所持有的存貨可視為擁有一個無窮期的美式買權，當存貨出清時，如同執行一個美式買權一般，以促使利潤的實現。接著我們利用比較靜態分析法就無風險利率和現貨價格報酬率的波動度對於最適決策下所求得的供應鏈價值之影響進行分析後，得到供應鏈價值會隨著無風險利率的上升而增加，亦會隨著現貨價格報酬率波動度的提高而增加。此結論和Cortazar and Schwartz(1993)以兩階段製造產品為運作模式之公司價值就無風險利率和現貨價格報酬率的波動度進行比較靜態分析後所得到的結果一致。
第二篇文章為對在隨機匯率下兩階段生產之公司進行評價。此文考慮Cortazar and Schwartz(1993)的模型，在產品之製造為兩階段式生產的條件下，納入隨機匯率，用實質選擇權分析法，評價以外銷專案為標的之公司價值。我們針對模型中的參數：本國的無風險利率、以外幣計價之現貨價格報酬率波動度及匯率波動度的變化對公司價值的影響進行分析後，而得到這些參數與公司價值呈現正相關的結果。此外，因動態現貨價格與隨機匯率的相關性
     ，我們亦分析現貨價格和匯率的相關係數對公司價值之影響後，得到兩者正相關程度越大或是負相關程度越小時，公司價值就越大，從而體認到僅從匯率走勢的升值或貶值來判斷外銷專案價值有利與否是不夠詳盡的，還要考慮現貨價格和匯率交互影響的程度，決策者才能做出有利於外銷專案更好的決定。
最後，我們將此兩篇文章歸納出一些重要的結論後，接著針對本論文研究主題的未來發展方向，提出一些觀點和建議，以作一個總結。
This text uses a real options approach to price the value of the supply chain or the company. It contains two articles
     . Chapter 1 is the introduction; Chapter 2 and Chapter 3 are
      the main text.In these chapters, we introduce the study motive and literature review, the model, the closed form of the supply chain or the company in the optimal operating policy, and then use comparative statics method to analyze the effect of some parameters that risk-free interest rate, volatility of the spot price, volatility of the exchange rate etc. Finally, we give a summary.
     
The first article is in Chapter 2. It is to price the optimal value of the two echelon sequential dynamic supply chain which is composed of one supplier, one retailer and many consumers. In this model, we assume that the spot price
      of goods is a dynamic process, the costs of the per unit goods of supplier and retailer are up to the change of the spot price, the sales volume is the decision strategy, and their aim is to maximize joint profits. In this supply chain, the value of the stocks for retailer can be regarded as a perpetual American call option. Finally, we will use comparative static to examine the effect of the volatility of the spot price and risk free rate for the optimal value of the supply chain, and we obtain the same results as Cortazar and Schwartz’s (1993) optimal value of two-stage companies.
The second article is in Chapter 3. Based on the extended the Cortazar and Schwartz (1993) model, we use the Real Options Approach to price the closed form of the value of the two-stage production for a company under stochastic exchange rate. With regard to the parameters in the model: domestic risk-free interest rate, the volatility of the foreign spot price, and the volatility of the exchange rate,
      we find that the domestic risk-free interest rate, volatility of the foreign spot price, and the volatility of exchange rate have positive correlated with the optimal value of the company. Moreover, due to the correlated relation between the dynamic foreign spot price and the stochastic exchange rate, we analyze the change of the coefficient of correlation between the foreign spot price and the exchange rate, and obtained the more large optimal value of the company when they are more large positive correlated or negative correlated. In other word, we need to consider the influence between the foreign spot rate and the exchange rate at the same time, and then the manager can make the optimal decision about the exporting project.
Finally, we summed up some important conclusions of Chapter 2 and Chapter 3, and then proposed some views and suggestions for the study the theme and the developing direction in the future.
參考文獻 [1]Arize, A. C., (1997). Conditional Exchange-Rate
Volatility and the Volume of Foreign Trade: Evidence
from Seven Industrialized Countries. Southern Economic
Journal, 64(1), 235-254.
[2]Black, F. and Scholes, M., (1973). The Pricing of
Options and Corporate Liabilities, Journal of Political
Economy, 81, 637-659.
[3]Boyle, G. W. and G. A. Guthrie, (2003). Investment,
Uncertainty, and Liquidity,Journal of Finances,58(5),
2143 – 2166.
[4]Brennan, M. J. and E. S. Schwartz, (1985). Evaluating
Information and Management Sciences, 19(1), 31-51.
Natural Resource Investments, Journal of Business, 58,
April: 135-57.
[5]Broll, U. and B. Eckwert, (1999). Exchange Rate
Volatility and International Trade. Southern Economic
Journal, 66,178-185.
[6]Cachon, G. P. and P. H. Zipkin, (1999). Competitive and
Cooperative Inventory Policies in a Two-Stage Supply
Chain, Management Science, 45(7), 936-953.
[7]Choi, C., (2001). Exchange Rates, Exchange Rates
Volatility and Investment in Korea: An Empirical
Investigation. Bank of Korea Economic Papers, 4(1), 177-
193.
[8]Considine, T. J. and D. F. Larson, (2001). Risk Premiums
on Inventory Assets: The Case of Crude Oil and Natural
Gas, Journal of Futures Markets, 21(2), 109–126.
[9]Cortazar, G. and E. S. Schwartz, (1993). A Compound
Option Model of Production and Intermediate Inventories,
Journal of Business, 66(4), 517-540.
[10]Dixit, A. K. and R. S. Pindyck, (1994). Investment
under Uncertainty, Princeton University Press and
Princeton, New Jersey.
[11]He, H. and R. S. Pindyck, (1992). Investments in
Flexible Production Capacity, Journal of Economic
Dynamics and Control, 16, 575-599.
[12]Henig, M., Y. Gerchak, R. Emst and D. F. Pyke, (1997).
An Inventory Model Embedded in designing a Supply
Contract, Management Science, 43(2), 184-189.
[13]Ingersoll, J. E., (1987). Theory of Financial Decision
Making, Totowa, N.J.:Rowman and Littlefield.
[14]Leenders, M. R., H. E. Fearon, A. E. Flynn and P. F.
Johnson, (1997). Purchasing and Supply Management. 11th
Edition, Irwin, Chicago.
[15]Majd, S. and R. S. Pindyck, (1987). Time to Build,
Option Value, and Investment Decisions. Journal of
Financial Economics, 18(1), 7-27.
[16]McDonald R. and D. Siegel, (1986). The Value of Waiting
to Invest, The Quarterly Journal of Economics, 101( 4),
707-728.
[17]Mentzer, J. T., D. W. William, S. K. James, M.
Soonhong, W. N. Nancy, D. S. Carlo, and G. Z. Zach,
(2001). Defining Supply Chain Management, Journal of
Business Logistics, 22(2), 1-25.
[18]Murphy, P. R. and D. F. Wood, (2007). Contemporary
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[19]Musiela, M. and M. Rutkowski, (2004). Martingale Method
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Borrowing, Journal of Financial Economics, 5(2), 147-
176.
[21]Nagle, R. K. and E. B. Saff, (1996). Fundamentals of
Differential Equations, 4th Edition, Addison-Wesley.
[22]Paddock, J. L., D. R. Siegel, and J. L. Smith, (1988).
Option Value of Claims on Real Assets: The Case of
Offshore Petroleum Leases. The Quarterly Journal of
Economics, 103(3), 479-508.
[23]Pindyck, R. S., (1991). Irreversibility, Uncertainty,
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[24]Schwartz, E. S. and M. Moon, (2001). Rational Pricing
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[25]Schwartz, E. S. and L. Trigeorgis, (2001). Real Options
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[26]Shreve, S. E., (2004). Stochastic Calculus for Finance
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[27]Sukar, A. H. and S. Hassan, (2001). US Exports and Time-
Varying Volatility of Real Exchange Rate. Global
Finance Journal, 12, 109-119.
[28]Sung, H., and H. E. Lapan, (2000). Strategic Foreign
Direct Investment and Exchange-Rate Uncertainty,
International Economic Review, 41(2), 411-423.
[29]Trigeorgis, L., (1993). Real Options and interactions
with financial Flexibility, Financial Management, 22
(3), 202-224.
[30]Weliwita, A., E. M. Ekanayake and H. Tsujii, (1999).
Real Exchange Rate Volatility and SriLanka’s Exports
to the Developed Countries, 1978-96. Journal of Economic
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[31]Wong, K. P., (2004). Hedging Liquidity, and the
Competitive Firm under Price Uncertainty, Journal of
Futures Markets, 24(7), 697-706.
[32]Wong, K. P., (2004). Liquidity Constraints and the
hedging Role of Futures Spreads, Journal of Futures
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[33]Zhou, Y. W. and S. Yang, (2008). Pricing Coordination
in Supply Chains through Revenue Sharing Contracts,
描述 博士
國立政治大學
金融研究所
91352507
97
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0913525073
資料類型 thesis
dc.contributor.advisor 廖四郎zh_TW
dc.contributor.advisor Liao, Szu Langen_US
dc.contributor.author (Authors) 王偉弘zh_TW
dc.contributor.author (Authors) Wang, Wei Hongen_US
dc.creator (作者) 王偉弘zh_TW
dc.creator (作者) Wang, Wei Hongen_US
dc.date (日期) 2008en_US
dc.date.accessioned 14-Sep-2009 09:33:37 (UTC+8)-
dc.date.available 14-Sep-2009 09:33:37 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:33:37 (UTC+8)-
dc.identifier (Other Identifiers) G0913525073en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31222-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 91352507zh_TW
dc.description (描述) 97zh_TW
dc.description.abstract (摘要) 本論文主要是以實質選擇權分析法對在最適決策下供應鏈及公司的價值進行評價。內容包含兩篇文章。第一章為緒論；第二章與第三章為主文。在此兩章中
     ，我們會先介紹研究動機、目的與文獻探討，接著架構模型，據以求出於最適決策下供應鏈或公司價值的封閉解後，以比較靜態分析法分析各參數對供應鏈或公司價值的影響。第四章為總結。
第一篇文章為對在隨機成本下供應鏈的評價。該模型是以單一供應商、單一零售商與多個消費者組成之垂直整合的二階段序列式動態供應鏈為架構，假設市場的現貨價格為動態過程，供應商和零售商每單位商品的成本為隨現貨價格變動的隨機成本。在此模型中，供應鏈的經營者以銷售量為決策，聯合利潤最大化為目標。此外，存貨設定在零售商的一方，而零售商所持有的存貨可視為擁有一個無窮期的美式買權，當存貨出清時，如同執行一個美式買權一般，以促使利潤的實現。接著我們利用比較靜態分析法就無風險利率和現貨價格報酬率的波動度對於最適決策下所求得的供應鏈價值之影響進行分析後，得到供應鏈價值會隨著無風險利率的上升而增加，亦會隨著現貨價格報酬率波動度的提高而增加。此結論和Cortazar and Schwartz(1993)以兩階段製造產品為運作模式之公司價值就無風險利率和現貨價格報酬率的波動度進行比較靜態分析後所得到的結果一致。
第二篇文章為對在隨機匯率下兩階段生產之公司進行評價。此文考慮Cortazar and Schwartz(1993)的模型，在產品之製造為兩階段式生產的條件下，納入隨機匯率，用實質選擇權分析法，評價以外銷專案為標的之公司價值。我們針對模型中的參數：本國的無風險利率、以外幣計價之現貨價格報酬率波動度及匯率波動度的變化對公司價值的影響進行分析後，而得到這些參數與公司價值呈現正相關的結果。此外，因動態現貨價格與隨機匯率的相關性
     ，我們亦分析現貨價格和匯率的相關係數對公司價值之影響後，得到兩者正相關程度越大或是負相關程度越小時，公司價值就越大，從而體認到僅從匯率走勢的升值或貶值來判斷外銷專案價值有利與否是不夠詳盡的，還要考慮現貨價格和匯率交互影響的程度，決策者才能做出有利於外銷專案更好的決定。
最後，我們將此兩篇文章歸納出一些重要的結論後，接著針對本論文研究主題的未來發展方向，提出一些觀點和建議，以作一個總結。		zh_TW
dc.description.abstract (摘要) This text uses a real options approach to price the value of the supply chain or the company. It contains two articles
     . Chapter 1 is the introduction; Chapter 2 and Chapter 3 are
      the main text.In these chapters, we introduce the study motive and literature review, the model, the closed form of the supply chain or the company in the optimal operating policy, and then use comparative statics method to analyze the effect of some parameters that risk-free interest rate, volatility of the spot price, volatility of the exchange rate etc. Finally, we give a summary.
     
The first article is in Chapter 2. It is to price the optimal value of the two echelon sequential dynamic supply chain which is composed of one supplier, one retailer and many consumers. In this model, we assume that the spot price
      of goods is a dynamic process, the costs of the per unit goods of supplier and retailer are up to the change of the spot price, the sales volume is the decision strategy, and their aim is to maximize joint profits. In this supply chain, the value of the stocks for retailer can be regarded as a perpetual American call option. Finally, we will use comparative static to examine the effect of the volatility of the spot price and risk free rate for the optimal value of the supply chain, and we obtain the same results as Cortazar and Schwartz’s (1993) optimal value of two-stage companies.
The second article is in Chapter 3. Based on the extended the Cortazar and Schwartz (1993) model, we use the Real Options Approach to price the closed form of the value of the two-stage production for a company under stochastic exchange rate. With regard to the parameters in the model: domestic risk-free interest rate, the volatility of the foreign spot price, and the volatility of the exchange rate,
      we find that the domestic risk-free interest rate, volatility of the foreign spot price, and the volatility of exchange rate have positive correlated with the optimal value of the company. Moreover, due to the correlated relation between the dynamic foreign spot price and the stochastic exchange rate, we analyze the change of the coefficient of correlation between the foreign spot price and the exchange rate, and obtained the more large optimal value of the company when they are more large positive correlated or negative correlated. In other word, we need to consider the influence between the foreign spot rate and the exchange rate at the same time, and then the manager can make the optimal decision about the exporting project.
Finally, we summed up some important conclusions of Chapter 2 and Chapter 3, and then proposed some views and suggestions for the study the theme and the developing direction in the future.		en_US
dc.description.tableofcontents 第一章 緒論……………………………………………………………1
     
     第二章 隨機成本下供應鏈的評價……………………………………5
      2.1 前言……………………………………………………………5
      2.1.1 研究動機與目的…………………………………………5
      2.1.2 文獻回顧…………………………………………………6
      2.2 供應鏈模型的建立……………………………………………7
      2.2.1 符號說明…………………………………………………8
      2.2.2 假設條件…………………………………………………9
      2.2.3 供應鏈的聯合利潤………………………………………11
      2.2.4 最適決策下供應鏈價值的建立…………………………14
      2.3 最適決策下供應鏈價值的封閉解……………………………16
      2.4 供應鏈價值的比較靜態分析…………………………………21
      2.5 結論……………………………………………………………30
     
     第三章 隨機匯率下兩階段生產之公司價值的評價…………………32
      3.1 前言……………………………………………………………32
      3.1.1 研究動機與目的…………………………………………32
      3.1.2 文獻回顧…………………………………………………33
      3.2 模型架構………………………………………………………34
      3.2.1 符號說明…………………………………………………34
      3.2.2 假設條件…………………………………………………36
      3.2.3 存貨價值與各部門產品售價的門檻值…………………38
      3.2.4 公司的利潤………………………………………………40
      3.3 最適決策下公司價值與其二階微分方程式的建立…………41
      3.4 最適決策下公司價值的封閉解………………………………42
      3.5 敏感度分析……………………………………………………47
      3.5.1 兩生產部門產品售價門檻值的敏感度分析……………47
      3.5.2 公司價值的敏感度分析…………………………………56
      3.6 結論……………………………………………………………67
     
     第四章 總結……………………………………………………………69
     
     參考文獻………………………………………………………………72
     附錄 A…………………………………………………………………76
      A.1 零售商產品售價門檻值的推導………………………………76
      A.2 供應鏈價值的封閉解之推導…………………………………77
     附錄 B…………………………………………………………………85
      B.1 存貨價值………………………………………………………85
      B.2 生產部門產品售價的門檻值之推導…………………………87
      B.2.1第一階段生產部門在製品售價的門檻值………………87
      B.2.2第二階段生產部門產品售價的門檻值…………………89
      B.3 公司價值的封閉解之推導……………………………………89		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0913525073en_US
dc.subject (關鍵詞) 動態供應鏈zh_TW
dc.subject (關鍵詞) 實質選擇權zh_TW
dc.subject (關鍵詞) 聯合利潤zh_TW
dc.subject (關鍵詞) 門檻值zh_TW
dc.subject (關鍵詞) 隨機匯率zh_TW
dc.subject (關鍵詞) 外銷專案zh_TW
dc.subject (關鍵詞) dynamic supply chainen_US
dc.subject (關鍵詞) real optionen_US
dc.subject (關鍵詞) joint profitsen_US
dc.subject (關鍵詞) thresholden_US
dc.subject (關鍵詞) stochastic exchange rateen_US
dc.subject (關鍵詞) exporting projecten_US
dc.title (題名) 供應鏈的評價：實質選擇權分析法zh_TW
dc.title (題名) Evaluation of a supply chain:a real pptions approachen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) [1]Arize, A. C., (1997). Conditional Exchange-Ratezh_TW
dc.relation.reference (參考文獻) Volatility and the Volume of Foreign Trade: Evidencezh_TW
dc.relation.reference (參考文獻) from Seven Industrialized Countries. Southern Economiczh_TW
dc.relation.reference (參考文獻) Journal, 64(1), 235-254.zh_TW
dc.relation.reference (參考文獻) [2]Black, F. and Scholes, M., (1973). The Pricing ofzh_TW
dc.relation.reference (參考文獻) Options and Corporate Liabilities, Journal of Politicalzh_TW
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