关键词: 期权合约, 采购风险, 混合策略, 风险规避

Abstract: A manufacturer’s optimal procurement strategy combining option contracts, long-term contracts, and spot purchases is studied when raw material prices and demand are uncertain. And a purchasing model is built for a risk-averse manufacturer based on expected utility theory. The manufacturer’s optimal purchasing strategy is obtained if the utility function is quadratic. The results show that the relationship between optimal purchasing quantities and the degree of risk aversion depends on the magnitude of the expected price, the long-term contract price and the option price. The long-term contract quantity increases and the option contract quantity decreases, as the drift rate of price increases. However, the long-term contract quantity decreases and the option contract quantity increases, as the price volatility or the long-term contract price increases. And the expected utility of the manufacturer can be improved after adopting a combined strategy.

Key words: option contract, procurement risk, combined strategy, risk aversion