考虑需求分布未知的期权–现货双渠道航运舱鲁棒订舱定价策略研究

Study on Robust Booking and Pricing Strategies for Option-Spot Dual-Channel Shipping with Unknown Demand Distribution

摘要: 针对如新冠疫情等突发事件导致的航运市场运力紧张和运价飙升的外部风险，长期合同与期权合同均是规避市场风险的重要金融工具。从货代利润最大化的视角出发，在仅知需求部分信息的情形下，研究了合同市场和现货市场组合的订舱与定价决策问题。建立了现货市场分别与长期合同、期权合同结合的双渠道鲁棒优化模型，并得出了最优订舱与定价决策。结果表明，需求信息的缺失造成的损失很小，这表明基于文中方法得到的策略具有良好的鲁棒性。此外，现货市场的存在能够有效提高货代期望利润。在面对需求和现货市场价格的波动风险时，期权合同和现货市场的结合展现出更高的灵活性，能更能有效地保障货代的利润稳定性和难抵抗需求信息缺失造成的利润损失。

Abstract: Long-term contracts and option contracts are both important financial work to avoid market risks due to the external risks of tight shipping market capacity and soaring freight rates caused by emergencies such as the New Crown epidemic. From the perspective of maximizing freight forwarder profits, this paper studies the booking and pricing decision-making problem of the combination of contract market and spot market, with only the demand information known. We have established a dual-channel robust optimization model that combines the spot market with long-term contracts and option contracts, and obtained the optimal booking and pricing decisions. The results indicate that the loss caused by the lack of demand information is minimal, indicating that the strategy based on the method proposed in the article has good robustness. In addition, the existence of spot markets can effectively increase the expected profits of freight forwarders. When facing the risk of fluctuations in demand and spot market prices, the combination of option contracts and spot markets demonstrates higher flexibility, which can more effectively ensure the stability of freight forwarder profits and resist profit losses caused by lack of demand information.