利率变化时的因果复合实物期权定价分析  

Analysis on Pricing of Causal Compound Real Options with Variable Interest Rate

作　　者：姚梅[1] 

机构地区：[1]重庆大学数理学院,重庆400030

出　　处：《重庆工学院学报（自然科学版）》2009年第10期168-171,180,共5页Journal of Chongqing Institute of Technology

摘　　要：在假设无风险利率的变化服从Ornstein-Uhlenbeck随机过程的前提下,对存在资产价值漏损的因果复合实物期权的定价模型进行了探讨.最后对含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投资项目的价值进行评价.This paper studies the pricing model of the causal compound real options with value leakage of real capitals under the hypothesis that the change of risk-free interest rate obeys to OrnsteinUhlenbeck stochastic process. In the end, the value of an investment project with causal compound real options, multi-variables and multi-uncertainties is appraised.

关 键 词：因果复合实物期权 价值漏损 无风险利率 均值回复过程 

分 类 号：O21[理学—概率论与数理统计] F830.9[理学—数学]