实物期权评价方法及波动率全周期估算研究  

Study on Economic Evaluation and Periodic Volatility Estimation in Real Options

作　　者：马志卫[1] 刘应宗[1] 

机构地区：[1]天津大学,天津300072

出　　处：《商业经济与管理》2006年第7期53-56,共4页Journal of Business Economics

摘　　要：在不确定性投资中,实物期权评价方法充分考虑了项目投资中的管理灵活性、不确定性和不可逆性,因而更能准确地评估项目投资的价值。项目建设期的现金流出和经营期可能出现的亏损使得现行波动率估算方法难以应用于项目评价中。在分析波动率性质的基础上,以净现值法为基础,应用蒙特卡洛原理,提出了在现金流随机变动条件下实物期权模型中基于全周期的波动率参数估算方法,该方法适用于项目投资且易于操作。Real options can evaluate exactly the value of investments through reflecting the flexibleness, uncertainty and irreversibility. But the current volatility models cannot estimate volatility because the negative cash flow in construction period and operation period. This paper analysis the properties of volatility. On the basis of traditional net present value method and Monte Carlo theory, a method for calculating the full period volatilities was given in which cash flow were considered as stochastic factors and negative permissible. This method fits the facts of project investments and is easily operated.

关 键 词：实物期权 波动率 蒙特卡洛模拟 全周期估算 

分 类 号：F830.59[经济管理—金融学]