【作者】 李军；

【导师】 张蜀林； 郑丰；

【作者基本信息】 北方工业大学 ， 数量经济学， 2013， 硕士

【摘要】 实物期权是金融期权的发展与延伸,常用于解决不确定性问题。国内外相关理论和实践已经证明,将它运用于不确定性项目的投资决策具有一定的可操作性和有效性。由于市场环境的多变和投资项目的复杂特点,使得对投资项目的准确定价非常困难。实物期权作为处理投资标的物的一种行之有效的方法,对其定价模型的研究变得非常具有现实意义。传统的净现值定价模型,不能合理的对项目价值进行定价。经典的实物期权定价理论在实际的投资决策中可操作性不高。本文通过引入模糊理论,采用非线性的三角模糊数来优化实物期权定价模型。用概率均值来替代项目的净收益现金流贴现值和投资成本,使期权定价中的参数取值更合理,更准确,从而构造了模糊三叉树实物期权定价模型。本文对医药行业R&D和房地产行业的实物期权投资案例进行了实证分析,对医药行业R&D,使用分阶段投资中增长期权的价值求出投资项目期初的价值,利用模糊三义树实物期权定价模型得出此实物期权价值介于传统净现值定价模型值和三叉树定价模型值之间。对房地产行业,将实物期权具体化为延迟期权,得出即使是最悲观的估计,此模糊实物期权模型得出的项目价值也大于传统定价模型。考虑到投资的灵活性,对医药行业R&D而言,模型的定价结果大于传统的净现值定价结果。而由于风险的不确定性,它又小于模糊三叉树的定价结果。从房地产行业和医药行业R&D的计算结果比较可知,由于受政府政策导向和市场作用相互影响更大,使得房地产行业计算结果为一取值区间,而这恰恰为风险管理者的投资决策提供了更多的选择灵活性。更多还原

【Abstract】 The real options come to take place with the the development and extension of financial option, commonly used in solving the problem of uncertainty. Theory and practice has proved that apply it to tis uncertainty is made when the project investment decision-making has a certain operability and effectiveness. Characteristics due to the complexity of the ever-changing market environment and investment projects, the accurate pricing of investment projects is very difficult. Real options as an effective way to deal with the subject matter of the investment, its pricing model has become very practical significance.Pharmaceutical industry R&D and the real estate industry in-kind option investment case empirical analysis of the value of the beginning of the pharmaceutical industry R&D, use a phased investment growth options value obtained investment projects, the use of fuzzy trigeminal tree kind option pricing model was this real option value from traditional evaluation model values and classic trigeminal tree pricing model values. The real estate industry, real options embodied option to defer, draw even the most pessimistic estimates of Fuzzy Real Option Pricing Model derived from the value of the project is greater than the traditional pricing model to calculate the value of the project.Taking into account the flexibility of the investment, the pricing model result is greater than the traditional NPV pricing results. Due to the uncertainty of the risk, it is less than classic trigeminal tree pricing. From the real estate industry and the pharmaceutical industry R&D calculation results shows that evaluates to a value interval due to government policy and the role of the market a greater impact each other, so that the real estate industry, and this is precisely the investment decisions of risk managers more selectivity. In addition, this paper also analyzes the Real Option Pricing in mining investment process, to consider the multi-year investment, the combined effect of multiple real options than single-term investment, a single real option pricing results more accurate, more scientific.更多还原