【作者】 曹国华； 陈冀；

【机构】 重庆大学经济与工商管理学院；

【摘要】 在目前标准的实物期权模型中都假设无风险利率为一固定的常数以及投资者时间偏好一致,但已有足够的证据可以说明作为折现率的无风险利率通常并不是一个常数而且投资者对于短期的选择表现得不耐心,对于较长期的选择却表现得耐心。我们用随机无风险利率和双曲贴现率对标准实物期权模型进行改进。通过数值模拟得知决策者不耐心程度衰减速率α、利率回复均值速率η、以及利率波动率σ.与项目实物期权价值的关系。更多还原

【Abstract】 While standard real option valuation models assume that the risk-free interest rate is fixed,and the investors possess a constant rate of time preference,there is substantial evidence that the risk-free interest rate as discount rate is not always fixed,and the investors are impatient about choices in the short term but are patient when choosing between long-term preferences.Through the numerical simulation,we get three relations:investors’ impatient decline speed(α)-ROV(real alternatives.We extend the real options framework with stochastic risk-free interest rate and time-inconsistent option value),the speed of risk-free interest rate reversing to the average rate(η)-ROV,the undulation rate of risk-free interest(σ)-ROV.更多还原