船价均值回归下延迟期权与船舶投资时机  

Ship Investment Timing Based on Option to Defer with Mean Reversion Motion

作　　者：余思勤[1,2] 陈金海[3] 黄顺泉[3] 

机构地区：[1]上海海事大学 [2]上海高级国际航运学院,上海201306 [3]上海海事大学经济管理学院,上海201306

出　　处：《同济大学学报（自然科学版）》2014年第12期1931-1934,共4页Journal of Tongji University:Natural Science

基　　金：教育部高等学校博士学科点专项科研基金(20113121110003)

摘　　要：建立船舶价值服从均值回归运动下延迟期权模型,求解投资阀值和期权价值.2001—2012年巴拿马型集装箱船在远东—西北欧航线运营数据显示,集装箱船舶适合在航运业复苏和繁荣期投资.随着无风险利率水平的提高,船舶价值、投资临界和项目投资价值都降低,但可投资的时间延长.集装箱船舶实际下订单数据表明,造船投资多发生在航运复苏和繁荣时期,而且模型计算结果具有半年的超前性.A mean reversion version of standard entry-exit model with stochastic ship value was adopted to study ship investment timing, which can be expressed in terms of Kummer function. The cost and revenue data of Panama containership on Far East to North-western Europe lane from 2001 to 2012 was applied for empirical analysis. It shows that recovery and peak stage are suitable for investment. The ship value and investment threshold decrease while risk-free rise, which means the investable time extend. The result coincides with containership orders in the market, which is about a half year ahead of the actual containership investment time.

关 键 词：实物期权 投资时机 均值回归运动 库默尔方程 

分 类 号：F551[经济管理—产业经济] F414