汇率波动下跨国公司战略投资期权价值研究  

A Study on the Option Value of Strategic Investment of Multinational Enterprises under Exchange Rate Fluctuation

作　　者：方世建[1] 秦正云[1] 缪柏其[1] 

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026

出　　处：《财经研究》2006年第5期136-143,共8页Journal of Finance and Economics

基　　金：国家自然科学基金资助项目(10071082)

摘　　要：跨国公司可以在全球范围内进行资源的最佳配置,实行区域间生产和销售的战略调整,并能够利用汇率波动产生战略投资的灵活性,获得灵活性期权。文章通过将汇率的运动过程模型化为简单的几何布朗运动,探讨了汇率风险不确定条件下跨国公司投资灵活性的期权定价,并结合具体算例对期权价值的各个影响因素进行了分析,最后给出相应的启示。Multinational enterprises may carry out the best deployment of resources in the sphere of the whole world, in order to actualize strategic adjustment of inter-zone production and distribution. It can utilize the fluctuation of exchange rate to produce strategic investment flexibility, and obtain flexibility option. This paper mainly discusses the pricing method for flexibility option of multinational enterprises＇ strategic investment under uncertain risk of exchange rate through modeling the movement process of ex change rate as a simple Geometry Brown movement. It also analyzes the influencing factors of option value combining with some specific examples, and puts forward some enlightenment finally.

关 键 词：跨国公司 战略投资 汇率波动 灵活性期权 

分 类 号：F276.7[经济管理—企业管理]