论文部分内容阅读
考虑到市场竞争的日益规范与激烈,尤其是近年来航运衍生市场的迅猛发展,将价格视为外生变量,基于期权理论,提出了国际集装箱海运企业运输协议动态定价的决策方法,建立了附带美式认购/认沽期权且符合现行法律体系规定的国际海上集装箱运输协议动态定价决策模型.基于伊藤引理及其相关性质,通过微分方程变换,实现了模型的有效求解.结合算例,给出了较为详尽的参数获取与估值方法.通过对算例的求解,分析了在附带美式认购/认沽期权的运输协议中,相关因素对运输协议动态定价决策的影响机理,模型的有效性也同时得到了较好的验证.
Considering the increasingly standardized and fierce market competition, especially the rapid development of the shipping derivative market in recent years, the price is regarded as exogenous variable. Based on the option theory, the decision-making method of the dynamic pricing of international container shipping companies’ transport agreements is proposed. Based on the Ito Lemma and its related properties, through the differential equation transformation, the model can be effectively solved.According to the example, the paper gives an example of the dynamic pricing model of the international maritime container transportation agreement under the current legal system. A more detailed parameter acquisition and valuation method is given.Analyzing the example, the paper analyzes the influence mechanism of the relevant factors on the dynamic pricing decision of the transport protocol in the transport protocol with American call / put option, and the validity of the model At the same time get better verification.