【作者】 尹海员；

【导师】 扈文秀；

【作者基本信息】 西安理工大学 ， 技术经济及管理， 2005， 硕士

【摘要】 实物期权是金融期权理念在实物投资领域的拓展和延伸,它克服了传统的投资决策方法(比如DCF)在确定风险调整贴现率时会遇到的困难,而且充分考虑了待投资项目中可能包含的经营灵活性的价值。目前多数实物期权定价是从金融期权定价模式和思路发展起来的。但是实物期权和金融期权在性质上有着很大的区别,这就决定了简单的套用金融期权的定价模式和方法对实物期权进行定价会存在很多问题和缺陷。 本文主要研究内容是在考虑期权定价参数不确定条件下单个实物期权的定价方法。文章首先从实物期权和金融期权的区别入手,认为不同于金融期权,实物期权定价研究中,定价参数的随机波动性是必须要考虑的问题。进而本文分别考虑当标的资产价值、无风险利率、期权执行价格不确定时,单个实物期权定价模型的推导。论文内容分为6部分,第一部分介绍研究背景和文章的研究结构框架;第二部分综述了国内外实物期权定价理论,并在考察实物期权特点的基础上分析了由于没有考虑定价参数的波动性导致这些方法存在的问题和实物期权定价的难点;第三部分主要考察在标的资产不可交易的情况下,运用分解的思想对其价值进行分解,直至找到可以交易的变量,实现对实物期权的定价;第四部分运用利率期限结构理论描述在比较长的有效期内无风险利率的波动规律,进而考察当无风险利率随机波动遵循均值回复过程和利率均衡模型时实物期权定价模型的研究:第五部分主要考察执行价格的不确定性对实物期权定价的影响。这种随机波动性在类似于欧式期权的实物期权和类似于美式的实物期权条件下的表现是不一样的:前者表现为一个随机变量;后者表现为随机过程。文章分别对两种情况进行了描述,并实现对单个实物期权的定价。最后第六部分是本文的研究结论和进一步研究的前景。西安理工大学硕士学位论文 本文考虑到实物期权定价参数的不确定性,运用随机过程理论对其进行了描述,并推导出相应的实物期权模型。这为投资决策提供了一种新的思路,使实物期权工具在实践中更具有应用价值,并为进一步的考察实物期权定价方法(比如引入竞争因素和阶段性)提供了理论基础。 [关键词】:财务管理实物期权期权定价非确定参数 【论文类型】:理论研究 本研究得到国家自然科学基金课题项目“不完全信息条件下实物期权定价方法研究”(基金号:70371021)资助。更多还原

【Abstract】 Real option is the development of financial option in the real assets areas, that overcomes the difficulties in evaluating the investment using traditional methods(such as DCF), and also the real option method considers the value containing in the flexibility. At present, most of the method of real option pricing is developed underling the idea of financial option. But the different of the two is obvious. So most of the extant methods of real option pricing have bugs and limitations.The focus of the paper is signal option pricing under the condition of uncertain parameter. The paper begins with discussing the different of real option and financial option, and claims that the stochastic factor must be considering in real option pricing. So the main body of the paper discusses the methods and models of signal real option pricing under the condition of uncertain parameters: the value of underlining assets, non-risk interest rate, expenditure of execute. The paper is composed by six parts, the first part introduces the research background and the frame of the paper; the second summarizes the existed theory of the real option pricing and points out the main different between financial option pricing and real option pricing. The third charter discusses the real option pricing model when the underlining assets is non-exchanged using the idea of discomposing. The forth part uses the theory of structure of interest rate to deduce the model of new real option pricing: at first we use mean-reverting process to depict the structure of interest rate and then modify the traditional real option pricing model. The fifth part considers the uncertain of expenditure of executing of the option and deems it must be a stochastic factor. The paper researches it’s behaving and deduces the pricing models of European option and American option. The last charter is the conclusion of the paper the future focus of real option pricing research.This paper researches the uncertain parameters which are stochastic factor in real option pricing, and uses the theory of stochastic process to characterize them, then deduces the real option pricing model. The idea gives a new method in evaluating investment and makes real option more useful and practical; also it establishes the foundation of further research of real option pricing considering competitive and multiple factor.更多还原