两类含有价值漏损的实物期权定价模型  

Two models of real option pricing with leaking losses

作　　者：杨云锋[1] 杨亚强[2] 金浩[3] 

机构地区：[1]西安科技大学基础部,陕西西安710054 [2]宝鸡文理学院数学系,陕西宝鸡721007 [3]西北工业大学应用数学系,陕西西安710072

出　　处：《宝鸡文理学院学报（自然科学版）》2007年第3期186-189,共4页Journal of Baoji University of Arts and Sciences(Natural Science Edition)

摘　　要：目的将含有现价值漏损的实物期权定价模型进行改进。方法将含有价值漏损的实物期权视为一个有交易成本或含分红的两类股票期权,并把模型中几个主要的变量都看作是时间的函数。结果改进后的模型更加合理,更符合实际的情况。结论这样的改进使得模型更加符合实际的市场情况,增强了适用性,具有重要的理论和实际意义。Aim A model of real option pricing with value leaks is improved. Methods The real option pricing with value leaks is regarded as stork option with trade cost, or as stock option with profit sharing. Several principle variables are regarded as functions of time. Results The improved model is more reasonable and conform the case further. Conclusion The improvement makes the model conform the case of the market further and makes it more serviceable so that it plays more important role in theoretical and practical fields.

关 键 词：实物期权 价值漏损 NPV 项目投资 

分 类 号：F403.7[经济管理—产业经济]