标的资产价值服从跳跃-扩散过程的美式实物期权定价研究  

Pricing of American-style Real Option when Value of Underlying Asset Follows Jump-diffusion Process

作　　者：邱小丽[1] 柴俊[2] 

机构地区：[1]温州大学城市学院,浙江温州3250352 [2]华东师范大学数学系,上海200062

出　　处：《温州大学学报（自然科学版）》2009年第1期29-33,共5页Journal of Wenzhou University(Natural Science Edition)

基　　金：温州大学城市学院科研项目(Kyzd200801)

摘　　要：时间较长的投资机会对于目前来说是可以近似看作是永久的,因此这样的不可逆的投资机会类似于永久美式看涨期权.本文在初始投资成本是不确定的情况下,探讨了跳幅服从均匀分布的泊松跳跃过程对这样的实物期权价值的影响,发现跳跃过程会提高投资临界值,推迟投资.Contrasted to present practices, the continual investment opportunities could almost be regarded as permanent opportunities. Therefore, such irreversible investment opportunities could be treated as a permanent American-style call option. In this paper, we have explored how a certain Poisson jump, in which the process jump rate had obeyed uniform distribution, had affected the value of this kind of real option while the initial investment cost was the uncertainty. And we found that the jump process will raise investment threshold and further delay the investment.

关 键 词：投资机会 实物期权 跳跃-扩散过程 临界值 

分 类 号：F830.59[经济管理—金融学]