基于实物期权理论的不确定性投资决策研究

【作者】 郭毅；

【导师】 樊相如；

【作者基本信息】 中南大学 ， 技术经济及管理， 2006， 硕士

【摘要】 本文就关于在不确定环境下的实物投资决策的问题运用了一种另一视角的新的理论和实施方法。根据目前投资项目的一些不确定性及其带来的一些期权特性，本文用实物期权的理论方法对传统评价决策理论和方法忽略了的投资的不可逆性、不确定性、可延迟性等因素进行了分析，提出了改进意见，并用实物期权的定价模型和思维对项目进行估价和对投资的灵活性进行管理。本文采用实物期权的理论框架，对项目的不确定性特性进行分析，识别其中的期权，并移植了金融期权的定价模型对实物期权进行定价，考虑到金融期权和实物期权的不同，在参数选取上也就做了些区别。本文讨论了传统投资评价和实物期权理论的适用范围和优缺点，重点论述了实物期权的应用框架的建立和情景分析与实物期权结合决策的应用。本文的主要工作有以下几点：1、提出了可操作性较强的实物期权应用框架及操作步骤，降低了实物期权在实际中的应用难度。2、对定价模型进行了比较分析。在不同的情况下，如何选择不同的定价模型进行评估。3、将情景分析与实物期权结合起来对未来的不确定性进行更加全面和系统地分析，最后决策者根据具体情景来进行投资项目的分析和管理决策。4、对印度BNSL公司的3G项目进行了实物期权框架下的投资分析，介绍实物期权的具体使用步骤。更多还原

【Abstract】 To resolve the issue of equity investment under uncertaincircumstances, this thesis provides the relevant theories and approachesfrom a different perspective. According to the uncertainties involved inthe current investment projects and the pertaining characteristics of realoptions, by using the theoretical method of real option under newframework, the thesis analyses the factors usually neglected bytraditional evaluation methods, including the irreversibility, uncertaintyand deferability of the investment. Furthermore, the recommendationswith regard to the analysis above are also provided. In order to ensurethe uncertainties to become investors’ opportunities rather than risks, themodel of real option is used to value the project and manage the mobilityof the investment.Initially, this thesis introduces the research background and theobjects. Subsequently, it reveals the development of the practice of realoption applying to the investment decision as well as the domestic andoverseas status of research in relation to this issue. After that, thetraditional approach of investment decision together with the limitationof the application of the improved method is analyzed. Eventually, thetheoretical framework of real option is derived, discussing theuncertainty of the investment, identifying the real options, and valuingthe real option by applying the pricing model of the financial realoptions. Due to the difference between the financial real options and real options, the selection of the parameters is adjusted to a certain extent.This report distinguishes the application dimension as well as the meritsand drawbacks of the traditional investment evaluation and real optionevaluation. The focus is placed on the establishment of the applicableframework of real options and the consolidation of scenario analysis andreal options. The major steps are developed as follows:1. It indicates the feasible applicable framework of real options anddecreases the difficulty of the application of real options in real life.2. The pricing model is analyzed by comparison. Under the complexcircumstance, it has been analyzed that how to adopt these Methods toovercome the issues occurring in different situations, including theunavailability of the solutions in some situations and the fluctuationprobability determined by binomial tree.3. Adopting the combination of scenario analysis and real options toforecast the likely future scenarios and the route dependency ofscenarios. Subsequently, the investors will undertake analysis of the realoptions and management strategy based on the specific scenarios.4. Case research. Using scenario analysis and real option to evaluate thetechnology upgrade of Indian BNSL Company under the framework ofreal options.更多还原