技术商品定价的实物期权方法研究  

Real Options Approach to the Value of Technology Products

作　　者：张晨宇[1] 李金林[1] 李萱[1] 魏冰[2] 

机构地区：[1]北京理工大学管理与经济学院,北京100081 [2]北京工商大学首都现代服务业发展研究中心,北京100037

出　　处：《北京理工大学学报》2007年第11期1032-1034,共3页Transactions of Beijing Institute of Technology

基　　金：国家自然科学基金资助项目(60776817);"九八五"二期工程资助项目(107008208200400024)

摘　　要：根据技术商品多阶段性、高风险性和不确定性的典型特点,给出描述其价值变化的随机过程方程.结合实物期权方法,建立相应的复合期权定价模型,采用逆时序方法求得解析解.算例表明,该定价模型避免了市场比较法、收益现值法和重置成本法在价值评估中的缺陷.Stochasic differential equations were applied to describe the value behavior of technology products according to their typical characteristics,such as, multiplestage, high ricky and uncertainty. Combined with the real option approach, a two-stage compound real option pricing model is built up and an analytical solution acquired using a reverse chronological order approach. Numerical results showed that the model can overcome the defectiveness of market comparison approach, income present value approach and replacement cost approach.

关 键 词：技术商品 实物期权 定价模型 

分 类 号：O211[理学—概率论与数理统计]