包含多重复合实物期权的风险项目价值研究  

Highly Uncertain Projects Valuation Based on Sequential and Multiple Real Options

作　　者：梁朝晖[1] 王巍[1] 龚东升[2] 

机构地区：[1]天津工业大学,天津300384 [2]天津大学,天津300072

出　　处：《工业技术经济》2012年第10期13-19,共7页Journal of Industrial Technological Economics

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

摘　　要：实物期权估值方法能反映风险项目的机会价值和高度不确定性,但实际风险项目往往包含多个、多期的期权,各期权相互影响,不能简单相加,因而难以应用。文章通过蒙特卡罗模拟,实证研究了当风险项目包含复合多重实物期权时,其估值的一般方法。分析了包含一个扩张期权、一个复合交换型期权和一个普通复合期权的风险项目灵活性价值,并讨论了期权的相互作用和期权价值对变量的敏感性。Real option method can be used to appropriately valuate opportunity and highly uncertainty of a risky project.But most real projects contain sequential and multiple real options,and theses interacted options cannot be simply added together.As a result,the application of real option method is difficult.Using Monte-Carlo simulation,we empirically researched how to valuate highly uncertain projects based on sequential and multiple real options.In this paper,we analyzed the flexibility value of a complex project,including a expand call option,a compound exchange option and an ordinary compound option.Further more,we studied option interactions and sensitivities of the total option value to its underlying variables.

关 键 词：估值 多重期权 复合期权 蒙特卡罗 敏感性 

分 类 号：F830.59[经济管理—金融学]