因果复合实物期权的定价  

Pricing of the Causal Compound Real Options

作　　者：扈文秀[1] 甄士民[1] 樊宏社[1] 

机构地区：[1]西安理工大学工商管理学院,陕西西安710054

出　　处：《系统工程》2007年第3期29-36,共8页Systems Engineering

基　　金：国家自然科学基金资助项目(70371021);西安理工大学科技创新基金资助项目(107-210302)

摘　　要：目前关于因果复合实物期权的定价研究主要局限于把金融复合期权定价的G eske模型进行各种形式的改造,但是这种模型一般只适合于对只具有一个标的变量和只具有一个不确定性来源的因果复合实物期权进行定价。本文的主要贡献就是对具有多个标的变量和多个不确定性来源的因果复合实物期权的定价方法和模型进行了探讨,并指出了这种新模型也适用于一个标的变量和一个不确定性来源的情况,最后对含有因果复合实物期权的投资项目价值进行评价。At present, the research on the pricing of causal model from diversified aspects, but the model is usually used contribution of this paper is to study the pricing method and compound real options is mainly limited to altering the Geske to price ones with one variable and one uncertainty. The main model of the causal compound real options with multi-variables and multi-uncertainties, which is also suitable for former ones. At last, the model is to have appraised the value of a investment project with causal compound real options.

关 键 词：实物期权 因果复合 期权定价 

分 类 号：F830[经济管理—金融学]