製造企業面對原料價格變動的採購策略-基於選擇權的方法

Abstract

由於原物料價格的變動從過去到現在一直存在，尤其是原油、天然氣、黃金、基本金屬和工業金屬等。過去的研究主要集中在提出採購策略來處理供應鏈中的不確定性。然而，原料價格在總成本中佔比很大，並且價格變動的情況下，加入實質選擇權的方法少有深入研究，實質選擇權在製造產業中的應用也仍不普遍。因此，本論文提出一種基於實質選擇權的採購方法。透過與供應商簽訂選擇權契約，製造商能夠在未來某個預定的時間點以事先決定的履約價格再次訂購原料，這有助於高原料佔比的製造商面對價格變動的挑戰。本論文分為三大部分。第一部分分析銅原料的價格，並進行期望年指數成長率和年波動性的估計實例。第二部分描述供應鏈模式，建立供應商和製造商的利潤函數，並進行數值範例以驗證模式的合理性。第三部分探討選擇權方法的利潤潛能、適用情境和邊界。基於選擇權的採購方法為製造企業提供一個面對高佔比原料價格變動時的應對框架。

Due to the persistent volatility in raw material prices, particularly for crude oil, natural gas, gold, base metals, and industrial metals, past research has primarily focused on proposing sourcing strategies to manage uncertainties in the supply chain. However, while raw material prices account for a significant portion of total costs and exhibit volatility, there has been limited in-depth research on incorporating real options. The application of real options in the manufacturing industry also remains uncommon. Therefore, this paper proposes a sourcing method based on real options. By signing option contracts with suppliers, manufacturers can purchase raw materials at a predetermined strike price at a specified future time, helping them face the challenge of price volatility, especially for those with a high proportion of costs. The paper is structured into three major parts. The first part analyzes the price of copper and conducts empirical estimations of expected annual exponential growth rates and annual volatility. The second part describes the supply chain model, establishes the profit functions of supplier and manufacturer, and provides a numerical example to validate the supply chain model. The third part explores the profit potential of the options method, applicable scenarios, and boundaries. The option-based sourcing method provides a framework for manufacturing enterprises to manage price volatilities of raw materials that constitute a high proportion of their costs.