关键词: 期权契约, 现货市场, 采购决策, 风险规避

Abstract: Aiming at the seller's purchasing situation in both of option contract and the spot market,a risk-aversion mixed purchasing decision model was established under the condition that the market demands was related to sales price.The analytical expression of optimal sales price and option order fluctuation which realized maximum profit of seller was obtained by solving the model.The effects of model parameters on option order volatility were discussed.Further,the numerical simulation was used to analyze the correlation of option order fluctuation quantity with related factors such as demand coefficient,price expectation and risk factor.The research showed that when the retailer was risk averse,the optimal pricing was less than the retailers of risk neutral;when the market demand was related to the spot price,the optimal option order changing quantity to maximize the retailer's profits was existed if the retailer's utility function satisfied certain conditions.Moreover,the more the market demand was related to the spot price,the larger the retailer's optimal order quantity was.Therefore,when the price fluctuation in the spot market had more influence on market demand,the retailer could maximize the profit by reducing the optimal price and increasing the quantity of contract ordering quantity.

Key words: options contract, spot market, ordering decision, risk-averse