【作者】 徐东华；

【导师】 陈纪南；

【作者基本信息】 江苏大学 ， 会计学， 2005， 硕士

【摘要】 由于市场的不确定性日益增大,使得传统的投资决策方法不再适应现代项目投资管理的要求。传统的决策方法没有考虑到大多数项目投资决策面临着未来收益和成本的不确定性,而是假设未来的现金流量可以准确估算:该方法也没有考虑到决策者能够控制投资的时机,而是认为只能采取“刚性”决策,即只能在“现在投资”和“永远不投资”间作出选择:传统方法没有考虑到大多数投资具有部分或整体的不可逆性,忽略了初始投资一旦支出就无法完全收回,必定形成沉没成本。这一切不适应性使得期权方法应运而生。上世纪80年代金融期权理论的重大突破为其在实物资产上的应用提供了理论前提,而该理论对不确定性及灵活性的合理解决,又使得其在投资领域中的应用成了人们确定不移的研究方向。本文就是在这种情况下讨论了期权方法在投资决策中的应用。 本文首先介绍了本文的研究背景与目的,着重介绍项目投资决策方法的发展和国内外理论方面的研究现状;然后在分析了传统投资决策方法的致命缺陷后,指出了投资决策中的期权特征和期权方法应用于投资决策的重要性所在;为了让读者对基本理论有所认识,本文在第三章从期权的基本概念入手,介绍了金融期权的基本理论,其中重点介绍了两个期权定价模型的原理及其评价,接着本文探讨了金融期权定价模型应用于实物资产时的不足之处,并对两个模型进行了相应的改进、修正,使其更适合实际情况并能准确地估算项目投资巾的期权价值;在前文所有的理论基础上,我们进入了本文的最主要部分——期权定价理论在投资决策巾的应用(即实物期权),在搭建好应用框架后,本文用几个案例详细介绍了不同类型的实物期权的应用,并得出期权方法是传统方法绝好的补充的结论;其后,本文讨论了期权方法在我国项目投资决策中应用时值得注意之处,着重介绍期权方法应用的不足之处,同时给出了具体的改进建议;最后,第七章对本文的论述进行了总结,并指出了我们今后的研究方向。 本文采用规范的方法对期权定价理论及其应用进行了研究,并得出了下列结论: (1) 传统的投资决策方法无法解决项目投资决策中的不确定性及管理灵活性问题,已经无法适应现代投资决策的要求。 (2) 期权定价方法对不确定性和灵活性价值的合理解决,使得该方法成为传统投资决策方法绝好的补充。 (3) 期权方法应用准确性的关键在于模型输入量的准确确定。更多还原

【Abstract】 Because of the acceleration of uncertainty in the market, the traditional investment decision-making method did not adapt to the demand of modern project management any longer. The traditional method never considers the uncertainty of future profit and cost encountered by the majority investment decision-making. This method also ignores the fact that the decision-maker can choose the timing of investment. According to the traditional method, investors can only make "rigid" decision, that is to say they can only make decision between "invest now" and "invest never". The traditional method neglects the sunk cost of the majority investment. Once the original cash was invested, it can never be taken back entirely because the investment is irreversible. All those called for the generation of new method of investment decision-making. The option method fits in with the need. The breakthrough of financial option theories in 1980s made it possible to apply the theory to real assets. And the reasonable solution to uncertainty of option theory makes its application to real assets be the research trend of many researchers. Under this circumstance, this paper discusses the application of option theory to investment decision making.Firstly, this paper introduces the researching background and object, mainly introduces the development of investment decision-making method and its present research situation abroad and domestic. After introducing the vital defects of the traditional method, this paper points out the option characteristics in investment decision-making and the importance of applying the option method in decision-making. In Chapter 3, in order to make the elementary theories understood, this paper starts from the basic concepts, introducing the fundamental theories of financial option, which contains two option pricing model and their appraisal. After that, this paper studies the deficiency of financial option theories applying to real assets, and modifies and improvesthe said two option pricing models. Based on all those theory preparations, this paperproceeds with the most important part of our research——the application of optionpricing theory to investment decision making(Real Option). After building the application frame, this paper introduces different kinds of real option, and gets the conclusion that option method is the best complementary to the traditional method. In the next Chapter, this paper discusses deficiency of option method, and gives the concrete improvement suggestion. At last, in Chapter 7, this paper make sum-up, and indicates the future researching direction.This paper adopts the prescriptive approach to proceed with the research of option pricing theory and its application, and gets the following conclusions:(1) The traditional method fails to solve the problems of uncertainty and management flexibility in the investment decision-making, and unable to accommodate itself to modern investment decision-making.(2) The reasonable solution to uncertainty and value of flexibility by the option method in the investment decision-making makes it be the best complementary to the traditional method.(3) The utility of the application of option method is determined by the input values of option pricing model.更多还原