【作者】 王崇喜；

【导师】 孟力；

【作者基本信息】 沈阳工业大学 ， 管理科学与工程， 2004， 硕士

【摘要】 投资决策是企业管理者面临的主要问题之一，其核心是比较一项投资所隐含的价值与费用，并判断其可行性。传统投资决策方法以净现值法为代表，通过比较预期收入流和费用流的现值来进行决策。该方法虽然考虑了时间和风险的报酬，但是却忽略了投资创造后续机会的战略价值和对市场变化灵活反应的能力。实物期权理论将投资项目中的各种投资机会与经营柔性视作期权进行分析量化研究，充分考虑了投资活动中各种灵活性的价值，是企业投资决策理论方法的一大飞跃。期权博弈理论与方法是在期权定价理论的基础上，对包含实物期权的项目价值进行评估的同时，利用博弈论的思想、建模方法对项目投资进行科学管理决策的理论方法，是项目投资决策方法的最新发展。 本论文的研究按照项目评估与投资决策方法的发展历程展开，运用系统的思想进行了比较深入地研究，主要内容包括:1.全面分析总结了传统的投资决策方法，对各种方法的假设前提和优缺点进行了简要的评述，指出了它们的不足。2.全面系统地分析和总结了期权定价理论，分析了影响期权价值的主要因素，探讨了期权的二项式定价模型，田ack一SchofeS模型，并针对Black一Scholes模型的不足，对其进行了扩展。3.针对高新技术企业研制周期长、投资费用高、每阶段风险水平特征差别大的特点，运用实物期权理论与计算方法，通过研究建立嵌入期权现金流量图，对企业发展中风险投资的最优策略、股权占有比例问题进行了深入的定量分析与计算。4.针对企业并购活动的高收益、高风险特性，提出可以在并购合约中添加保证价格底线的条款，通过利用二又树期权定价方法和仿典数值计算软件，模拟计算出了这项保证协议的价值。5.基于多个公司竞争!司一个投资机会而只有一个公司可以获得的假设前提，建立了一个风险率是临界值的函数模型来估计竞争者在未来的时间间隔内投资的概率，根据期权博弈理论研究了在不确定条州几卜和不同信息结构下，一个或多个公司的最优投资策略纳什均衡解，并用MA‘rL八B语言对‘示例进行了仿真分析，画图说明了参数变化对投资策略的形响。更多还原

【Abstract】 The core of investment decision is to compare the value and the cost of an investment and decide the feasibility. The traditional investment decision methods, represented by Net Present Value method, compare the present values of expected income and cost stream to decide. Although they consider the reward of time and risk, they ignore the strategic value of creating following growth opportunities and the flexibility to adjust according to the market changes. Real Options Theory regards all kinds of investment opportunities and management flexibility as option and provides a practical qualitative tool. It is a great progress of investment decision theories. Option and Game Theory is the latest development, which combines option pricing theory and game theory to invest scientifically.This paper spreads according to the evolution of investment decision methods. It mainly includes: 1.Completely analyses traditional investment decision methods, briefly appraises hypothesis presupposition of each method and points out their limitations; 2.Systemically summarizes Option Pricing Theory, analyses influence factors of option value, discusses binominal tree model and Black-Scholes model and extends Black-Scholes model; 3.New high technology corporations have these characteristics: long R&D duration, high investment cost and big differences of risk level between each and every step. Real option theory was thus applied to analyzing quantitatively the optimal strategy and the ratio of stock right by way of building an embedded option cash flow chart; 4.Because Mergers and Acquisitions has high risk and high return, we can add a contract clause guaranteeing a price floor to the acquisition offer. The value of the contract calculated by applying binomial tree model and digital simulation software is scientific and reasonable; 5.Under the assumption that many firms compete for a single investment opportunity and only one firm can get it, the paper models the hazard rale of investment as a function of competitors ’ trigger level to estimate the likelihood that competitors will invest. Under uncertainty and different information structure, option and game theory was applied to researching the optimal Nash equilibrium strategies of one or morefirm. By means of software Matlab, we simulate an example and illustrate how parameter affects investment strategies.更多还原