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系統識別號 U0026-0812200912012822
論文名稱(中文) 整合賽局與選擇權之資訊分享定價模式
論文名稱(英文) Combine Game Theory and Option Theory to price the Value of Information Sharing
校院名稱 成功大學
系所名稱(中) 工業與資訊管理學系碩博士班
系所名稱(英) Department of Industrial and Information Management
學年度 94
學期 2
出版年 95
研究生(中文) 郭俊瑋
研究生(英文) Jun-Wei Kuo
學號 r3693121
學位類別 碩士
語文別 中文
論文頁數 73頁
口試委員 指導教授-吳植森
口試委員-蔡長鈞
口試委員-黃信豪
中文關鍵字 賽局理論  實質選擇權  資訊分享  定價  蒙地卡羅方法  投資評估 
英文關鍵字 Pricing  Real option  Game theory  Monte Carlo method  Information sharing  Evaluate investment 
學科別分類
中文摘要 長鞭效應是指顧客對特定產品需求變異不大,但存貨水準對整條供應鏈產生極大變異,且越上游越大。最普遍因應法則為分享顧客實際訂單需求資訊,然而資訊分享後零售商獲利較製造商小,甚至議價能力下降,故製造商需支付零售商需求資訊費用以做為誘因。本研究欲針對該費用建構一資訊定價模式。

本研究考慮兩規模相當之製造商定價策略競局。首先衡量資訊系統獲利值以資訊定價,隨後雙方競價以獲得零售商家提供需求資訊。在衡量資訊系統獲利值部份,本研究考慮科技投資通常具階段性,故以複合實質選擇權與擴張淨現值衡量之,其中因為實質選擇權標地物為實質資產不同於金融選擇權標地物能在公開市場上快速交易流通,可由歷史交易資料求得波動性,因此本研究由蒙地卡羅模擬估計之。另外在衡量競價部份,本研究考慮提撥一定比率擴張淨現值為資訊定價,並以之為賽局報償,利用賽局理論探討不同定價區間下之最佳報償。

本研究結論分兩部份,在資訊定價方面,複合式實質選擇權較傳統淨現值能擷取資訊專案價值。在競價方面,考慮同步賽局時可由集體行動而獲利最大;考慮不完全訊息動態賽局時,先行者可藉由傳訊而獲利最大。



英文摘要 Bullwhip effect means that customer demand on specific product has no tremendous change, but the inventory level results huge change in the entire supply chain. This variation is more apparent among upper-stream suppliers. The most general way to deal with the problem is to share the information of customers’ actual order demand among all operators in the supply chain. Nevertheless, after the information sharing, the retailers would make less profit than the manufacturers, and the bargain power would possibly drop. As an inducement, manufacturers should pay retailers the expenses of demanded information. The aim of the research is to build a price-making pattern upon the value of sharing information.

In this research, the pricing strategy of two manufacturers with corresponded scale is analyzed in two phases. First, the profit of the information system is measured. Then, two manufacturers bid for sales demand information. On analysing information system profit, this research assumes that technical investment usually invest gradually, therefore, compound real option and expanded NPV are chosen as the measure method. The object of real option is a real asset; it’s different form that of financial option, which can be traded and circulate in the public market. The variation can be calculated from historical trade information, and this research uses Monte Carlo simulation to calculate it. To measure the bid, this research considers allocating certain percent of expanded NPV as the information price, which is the pay off. This research uses game theory to figure out the best pay off in different pricing intervals.

There are two outcomes form this research: In the aspect of information pricing, compound real option is easier to get information system value than traditional NPV. In price bidding, Collective action will gain biggest profit if it’s a stimulation game; earlier bidder could gain biggest profit via signaling when it’s a dynamic game of incomplete information.



論文目次 摘要    I
Abstract  II
誌謝    IV
目錄    VI
表目錄   VIII
圖目錄   IX

第一章 緒論        1
 第一節 研究背景與動機  1
 第二節 研究目的     2
 第三節 研究流程     3
 第四節 研究範圍與限制  5

第二章 文獻探討      6
 第一節 資訊分享     6
 第二節 投資評估分析   13
 第三節 實質選擇權    15
 第四節 賽局理論     26

第三章 研究方法      34
 第一節 研究模式及步驟  34
 第二節 模式建構     36

第四章 數值模擬      45
 第一節 參數數值     45
 第二節 淨現值模式    46
 第三節 實質選擇權模式  50
 第四節 擴張淨現值    54
 第五節 賽局模式     54

第五章 結論與建議     67
 第一節 研究結論     67
 第二節 研究建議     68

參考文獻          70
參考文獻 一、中文部份:
張榮玔 (2000),「供應鏈管理資訊分享模式之研究」,國立中山大學資訊管理學研究所碩士論文。

張維迎 (2000),賽局理論與訊息經濟學,茂昌圖書

張傳章 (2004),期貨與選擇權,雙葉書廊出版

蔡宜芳 (2005),「供應鏈中資訊分享定價模式之研究」,國立成功大學工業與資訊管理學研究所碩士論文。

Simchi-Levi, D., Kaminsky P., and Simchi-Levi E. (2001),蘇雄義等譯,供應鏈之設計與管理,美商麥格羅‧希爾出版

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