【作者】 谢志；

【导师】 罗昌宏；

【作者基本信息】 武汉大学 ， 会计学， 2004， 硕士

【摘要】 不确定性是现代市场经济体制下投资决策的主要特征之一，如何处理不确定性是投资决策成效好坏的关键所在。传统的净现值法在不确定性环境下进行投资决策存在严重的缺陷，实物期权决策方法则弥补了净现值法的不足，它能将投资项目中出现的各种投资机会和经营灵活性当作期权进行量化研究，将所谓的“战略头脑”和数学上的精确性有机地结合在一起，是投资决策理论和方法的一大飞跃，因此，对其进行系统深入的研究具有深刻的理论意义和实用价值。 本文对实物期权理论和方法及其应用进行了系统研究，主要内容包括如下几个方面：(1)详细讨论了金融期权和实物期权共同的理论基础，主要包括无套利均衡原理、风险中性定义、完全市场以及动态复制方法，对这些理论方法的探讨既是本文的出发点和基础，它们提供了研究实际应用实物期权的一个基准点，也是贯穿全文的线索和灵魂；(2)分析了现代市场经济体系中投资决策的三个基本特征即不可逆性、不确定性和时机选择，并从它们数量上和质量上相互作用的重要意义的角度，分析了传统的净现值法与实物期权方法的差异，指出了净现值法在不确定环境中存在的缺陷及实物期权处理投资灵活性的价值，并将净现值法纳入实物期权投资分析决策体系当中，总结了企业投资决策实物期权的一般分析方法；(3)探讨了实物期权应用中要考虑的各种要素，如实物资产的价值漏损、基差风险和非市场风险等，并进一步提出了实物期权应用的规范化策略和构建了一个实际应用实物期权方法的基本框架，尝试将期权的基本原理与企业在现实经济环境中投资决策的要素结合起来，从而可以在一定程度上超越期权的复杂的数学计算而汲取期权思想的精华，从而促进期权决策方法在实际投资决策中的应用；(4)将实物期权方法应用于企业战略投资，得出了战略投资项目的价值模型，指出可以将实物期权理论和方法应用于企业并购，分析了应用的具体方面，并提出应根据实物期权理论建立一套适合我国企业的灵活的投资决策系统。更多还原

【Abstract】 Uncertainty is one of the main characteristics of investment decision-making in modern market economic system, and how to deal with uncertainty is a crucial point of the effect of investment decision-making. The traditional net present value(NPV ) method has severe weakness under uncertain environment, however , real options method can make up the shortcoming of the NPV method. Real options method can make quantitative research of all kinds of investment opportunity and operational flexibility by means of taking them as options, making a organic combination of the so-called strategetic minds and mathematic accuracy. Therefore, it can be regarded as a great improvement of the investment decision-making theory and methods .This article makes a systematic research on real options theory and method and its application, including the following several main aspects:Firstly, it makes a detailed discussion about the common theoretical basis of financial options and real options, including no-arbitrage equilibrium principle, risk-neutral definition, complete market and dynamic tracking.Secondly, it analyze three basic characteristic of investment decision-making in modern market economic system: irreversibility, uncertainty and flexibility, and from the angle of their mutual quantitative and qualitative interactions, it makes a comparison between the traditional NPV methods and real options methods and makes a summary of the general analytical methods of real options.Thirdly, it discusses the all elements in the application of real options such as the ^leakages in value of real assets, basis risk, and private risk, and furthermore, it attempts to put forth a normalized strategy of its application and construct a basic framework of its application.Fourthly, it applies real options theory to strategetic investment of enterprises and the buy-out of company, putting forth a value model for strategetic investment program and making a concrete analysis of its application to buy-out. Furthermore, it advocates that a flexible investment decision-making system should be setup according to real options theory in our country.更多还原