基于正态云的实物期权定价方法  

Real Option Pricing Method Based on Cloud Model

作　　者：丁四波[1] 黄卫来[1] 张子刚[1] 

机构地区：[1]华中科技大学管理学院,湖北武汉430074

出　　处：《系统工程》2008年第10期73-76,共4页Systems Engineering

摘　　要：实物期权一般假定期望现金流现值和投资成本为确定值,实际上由于风险投资项目的高不确定性,因而假设是不现实的,所以一些学者用模糊数学的方法对实物期权做了研究。云模型反映了随机性和模糊性的关联性。在这些研究的基础上,引入正态云模型表示投资的期望现金流现值和投资成本,得到一种新的实物期权的计算方法,并给出算例。Real option usually assumes that the present values of expected cash flows and expected costs are difinite values. Actually, there is a high uncertainty in venture investment, so this assumption is unrealistic and many researchers apply fuzzy method to solve the problem. Cloud models can represent the fuzziness and randomness and their relations of uncertain concepts. Based on before researches, this paper uses a cloud models to describe the present values of expected cash flows and expected costs, in which a new real option calculation method is obtained. Finally, a numerical example is presented to test the feasibility of this method.

关 键 词：不确定性 正态云 实物期权 熵 

分 类 号：F830[经济管理—金融学]