【作者】 樊宏社；

【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】 系统地研究复合实物期权的定价不仅具有重要的理论和学术价值,而且对评价投资项目中的多个灵活性价值,提高投资项目评价和决策的准确度有着重要的意义。 本文在Trigeorgis(1993)、Kulatilaka(1995)、Rainer Brosch(2001)以及杨屹和扈文秀(2004)等人研究的基础上,首先对现有关于复合实物期权理论和定价方法的金融学文献进行了综述,然后系统地对复合实物期权理论,包括复合实物期权的概念、复合关系、类型以及复合实物期权的相互影响和价值作用做了定性探讨,最后,对不同类型的复合实物期权的定价模型进行了专门研究。 研究结论表明:复合实物期权的内涵要比金融复合实物期权的内涵丰富得多。复合实物期权的复合关系除传统的因果复合关系外,还有平行复合关系和相关复合关系,从而复合实物期权的类型除因果复合实物期权外,还有平行复合实物期权和相关复合实物期权。经常用于评估存在于风险投资、高科技研发和资源开采项目中灵活性价值的多阶段投资期权实际上只是属于因果复合实物期权的一种。复合实物期权不仅具有多种复合关系和类型,而且还有非常复杂的相互影响和价值作用,不过,这些复杂的相互影响和价值作用的本质与西安理工大学硕士学位论文方式却是一致的。对于因果复合实物斯权的而言,在某些情况下它的定价模型会有解析结果,但是对于平行复合实物期权和相关复合实物期权而言,它们定价模型的构建却只能采用数值方法。无套利均衡的定价原理和方法是复合实物期权定价的基本原理和方法,不过除基本的无套利定价方法外,无套利以外的决策树方法和随机动态规划方法也是复合实物期权定价的有效工具和手段。【关键词】划【论文类型】复合实物期权,完全市场,无套利定价,随机动态规理论研究更多还原

【Abstract】 That the systemic research on the pricing theories and models of compound real options has not only important theoretical and learned value, but also significant meaning for evaluating multiple flexible values in the investment and advancing veracity of evaluating the investment.The paper aims at study of compound real options.. Based on analyses and research of Trigeorgis (1993), Kulatilaka (1995), Rainer Brosch (2001) and Yang yi and Hu wen-xiu (2004), this paper firstly summarizes the existing financial literatures on study of compound real options. Secondly, the theories of compound real options are systemically qualitative discussed, including its concept, compound relations, types and reciprocity. Finally, the special studies of the pricing models of the diversified compound real options are conducted.The results indicate: relative to compound financial options, the meaning of compound real options is much more abundant. Except the traditional causal compound relation, compound real options still have the parallel and correlative compound relations. Accordingly, except the causal compound real options, it also has parallel and correlative compound real options. Multi-phase investment option, which always consists in venture investment, high-tech R&D and resource exploitation item, is really just one of the causal compound real options. Compound real options have not only multiple the compound relations and types, but also very complicated reciprocity, but, the essence and approach of these complicated reciprocities are consistent. The pricing models of the causal compound real options may has analytic solution under some conditions, but, formation of the models of the parallel and correlative compound real options is conducted only with numerical methods. The no-arbitrage equilibrium pricing principlesand methods are the basal pricing principles and methods, but, decision-making tree method and stochastic dynamic programming method also are effective methods and tools for pricing compound real options.更多还原