Study on the Model of Supply Chain Default Risk Based on Option Pricing Theory
|Course||Management Science and Engineering|
|Keywords||Supply Chain Default risk Options Analysis Simulation Analysis|
With the advance of economic globalization , the increasingly fierce market competition , the supply chain enterprise's survival and development is faced with enormous challenges. Changes in demand , price fluctuations, supply disruptions , quality issues and the global financial crisis , so that the supply chain increases the risk of default . This affects not only the individual enterprise itself , but also spread to other enterprises in the supply chain , affecting the normal operation of the whole supply chain and competitiveness . In this paper, option pricing theory, combined with stochastic processes , such as knowledge of probability theory , the design minimum price terms of the contract , specifying the breach , to guard against the risk of default of the supply chain purposes. First, the use of option pricing theory to establish the supply chain to prevent the risk of default of the terms of the contract model . Designed to lower the price of the equivalent put option and call option protection provisions ceiling price protection provisions , determined to protect the rights inherent in terms of value , to prevent the breach occurred . Monte Carlo method to simulate and analyze the model to explore the random fluctuations in commodity prices , the demand for fixed minimum price changes , demand and price cap fixed minimum price fluctuations , fluctuations in demand , the price fixed upper and lower limits of the terms of the contract design . Second, consider the mutual responsibilities of default occurs and compensation issues , the use of option pricing theory supply chain default clause , to establish a supply chain model for default risk of real options . Assuming the two sides signed a fixed-price supply contracts, supply chain forecasting the probability of default , loss functions in consideration of both the cost of default and default penalty payments. Analysis of the supply and marketing relationship between the two sides breach penalty payments , supply and marketing sides penalty payment default probability of default of the supply chain impact of the transaction price and the cost of default probability of default on the impact of the supply chain . Latest research contracts when the price fluctuations of both supply and default provisions design problems. Supply contract between the parties under the terms of the rights and obligations established based on the theory of breach of terms of option pricing model , combined with game theory methods to determine a reasonable rate of liquidated damages . Analysis of commodity price volatility and growth , price volatility and the execution of the sales growth rates of rates of payment default by impact .