【作者】 甄士民；

【导师】 扈文秀；

【作者基本信息】 西安理工大学 ， 技术经济及管理， 2006， 硕士

【摘要】 针对传统的折现现金流量(DCF)法在项目评估中的种种缺点,Myers(1977)和Ross(1978)提出了实物期权方法来评价投资项目经营柔性的价值。后人在此基础上进行了各种改进。然而,传统的实物期权定价方法在运用二叉树时,标的资产在未来上升或者下降的概率和未来的现金流一直被认为是固定的数值,这与现实情况是相偏离的。现有的实物期权定价方法没有考虑到这两种不完全信息的影响。在每一个投资年份,标的资产的价值上升或者下降的概率在不同的信息集下是不固定的,而且不同的概率情况下实物期权的价值也是不同的,一个较高的上升概率意味着标的资产价值的上升和投资期权(扩张期权等)的执行,就是说标的资产价值提高的概率较高促使企业更快地投资。在未来的现金流方面,许多不确定因素都会影响到现金流量。本文在前人研究的基础上,首先对复合实物期权中的不完全信息进行了定义,然后建立了不完全信息下复合实物期权的定价模型,最后对这些模型进行了实例的应用。在建立不完全信息下复合实物期权的定价模型时,本文还把这种方法应用到了不完全信息下因果复合实物期权的定价中,从而得知随机动态规划是不完全信息下复合实物期权定价模型的有效工具。本文的创新点有两个:一是建立了不完全信息下复合实物期权的定价模型,从而让复合实物期权的定价更加符合实际情况;二是在建立不完全信息下复合实物期权的定价模型时,把随机动态规划的方法应用到了因果复合实物期权的定价中,从而建立了统一的复合实物期权的定价方法。更多还原

【Abstract】 Owing to the shortages of DCF, Mayers(1977)and Ross(1978) thought of real options to evaluating the projects. And the following scholars made improvements on the basis. However, when the model is used, the changing probability of the assets’value and the future cash flow is considered as constants. It doesn’t agree with the reality.In every investing year, the changing probability of the assets’value is not fixed under different information, and the value of real options is different when the probability changes. The higher moving up probability means that the value of assets will move up and the real options will be excised. Many uncertain factors will also influence the future cash flow. The paper aims at the study of compound real options under incomplete information. Based on former analyses and research, the paper defines the incomplete information , sets up the pricing model of compound real options under incomplete information, and applies the new model into a case. Besides, stochastic dynamic programming is successfully used on the pricing of casual compound real options.The innovation points of paper are: the pricing model of compound real options under incomplete information the incomplete information is set up; stochastic dynamic programming is successfully used on the pricing of casual compound real options.更多还原