关于波动率与投资概率之间关系的进一步研究  

Further research of relationship between uncertainty and investment

作　　者：孟力[1] 孙威[2] 汪定伟[1] 

机构地区：[1]东北大学信息科学与工程学院,辽宁沈阳110004 [2]沈阳工业大学管理学院,辽宁沈阳110023

出　　处：《控制与决策》2005年第1期96-98,共3页Control and Decision

基　　金：国家自然科学基金项目(60084003;70171056).

摘　　要：对项目价值波动率与投资概率之间的关系进行了深入研究.通过建立实物期权数学模型,将项目投资临界触发值与项目价值两者有机地溶入投资概率计算中,并利用Matlab语言仿真计算,说明了波动率和有关参数对投资概率的影响.结果表明,当波动率σ较小时,投资概率会随σ的增加而增加;当σ的值较大时则情况相反.所提出的观点对当前我国投资实践活动具有一定的理论指导意义.The relationship between uncertainty and investment probability is studied through real option model, which involved investment critical trigger and project earning. The influence of project earning volatility on investment probability is illustrated by using software Matlab. When project earning volatility being lower than certain level, an increasing in uncertainty will increase the investment probability. When volatility higher than certain lever, an increasing in uncertainty will decrease the investment probability. The result has a useful contribution to present investment practice under uncertainty.

关 键 词：不确定性 实物期权 投资概率 期权定价 

分 类 号：F235.2[经济管理—会计学]