不完全信息下投资的实物期权分析  

Analysis on Real Option of Investment under Incomplete Information

作　　者：骆桦[1] 司娣[1] 

机构地区：[1]浙江理工大学理学院,杭州310018

出　　处：《浙江理工大学学报（自然科学版）》2013年第5期780-783,共4页Journal of Zhejiang Sci-Tech University(Natural Sciences)

基　　金：国家自然科学基金(60903143);浙江理工大学系列课程建设课题项目(11432932320942)

摘　　要：针对不完全信息下投资的实物期权的定价问题,利用投资过程中产生的可观测的现金流量来衡量不完全信息,并将其描述为均值回复过程。通过非线性滤波理论,将信息模型融入到不可观测的资产价值模型中,得到项目投资的预测价值条件估计的随机表达式。根据Ito引理推导出实物期权价格所满足的偏微分方程,基于实际背景得到数值解,并应用于计算和分析实物期权的价值,帮助投资者做出最优的投资决策。In allusion to the pricing problem of real option of investment under incomplete information, this paper uses observable cash flow produced in the process of investment to measure incomplete information and describes it as mean reversion process~ integrates information model into unobservable asset value model through non-linear filtering theory and obtains the random expression of predictive value condition estimate of project investment; deduces partial differential equation met by the price of real option accord- ing to Ito lemma; obtains numerical solution based on the actual background, applies it to the calculation and analysis of the value of real option and helps investors to make the optimal investment decisions.

关 键 词：实物期权 不完全信息 Kalman滤波理论 Bellman方程 均值回归 

分 类 号：F830.91[经济管理—金融学]