基于矩匹配的、多标的实物期权估值方法研究  

A Moment Matching Method for Real Option Valuation Based on Multi Underlying Assets

作　　者：梁朝晖[1] 王巍[1] 李树生[1] 

机构地区：[1]天津工业大学经济学院,天津300384

出　　处：《数学的实践与认识》2012年第16期70-78,共9页Mathematics in Practice and Theory

基　　金：国家自然科学基金(70971098;71001077);天津市教委社科重大项目(2011ZD026);天津市哲社项目(TJYY11-2-042)

摘　　要：实物期权能够恰当地反映管理的灵活性价值,但是实际应用中往往对应多个标的物,现有的方法不能很好的求解其价值及变量的敏感性,从而限制了其应用.本文将多个标的资产视为一篮子资产组合,通过矩匹配方法求得组合资产的近似分布,从而可求解多标的实物期权的解析解,并通过案例分析了该方法的优势和便利性.Real option can properly reflect managerial flexibility. However, its valuation and greeks cannot be effectively solved using current method when it tend to be wI：itten on multi underlying assets, so the application of real option approach is restricted in reality. This paper employs analytical approximations based on the moment matching method , regarding multi underlying assets as a portfolio. Furthermore, the advantage and convenient of this method were studied through a case analysis.

关 键 词：矩匹配 多标的资产 实物期权 封闭解 

分 类 号：F224[经济管理—国民经济] F830.9