基于改进期权定价模型的共享经济项目评估  

Shared economic project assessment based on the improved option pricing models

作　　者：王豫姝 骆桦[1] 林加云 WANG Yushu;LUO Hua;LIN Jiayun(School of Science,Zhejiang Sci-Tech University,Hangzhou 310018,China)

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）》2020年第3期394-400,共7页Journal of Zhejiang Sci-Tech University(Natural Sciences)

基　　金：国家自然科学基金项目(11501511)。

摘　　要：为评估共享经济项目能否创造正收益,应用实物期权法和改进的传统期权定价模型,对不同特征的共享经济项目进行数理分析。首先运用实物期权法建立了风险投资价值评估模型,考虑了期权收益以改进传统净现值法评估的缺陷,分析共享单车各阶段的投资与收益情况,结果发现共享单车仍难获得正收益;然后对另一类共享经济项目提出了一种连续支付分期付款的美式期权模型,在一定边界条件下求出相应偏微分方程的数值解,分析共享租房等共享经济项目,得出项目收益可为正的结论,解决了用Black-Scholes模型难以定价的实际问题。通过上述模型对共享经济项目进行评估,可明确在考虑风险情况下的项目收益,有助于投资方做出合理决策,相应的参数分析和敏感性分析保证了结论的可靠性。In order to evaluate whether shared economic projects can create positive income, real option method and improved traditional option pricing model are applied to make mathematical analysis of shared economic projects with different characteristics. Firstly, real option method is used to establish the value evaluation model of venture capital, and the option income is considered to improve the defects of the traditional NPV method. The study analyzes the investment and income of shared bikes in each stage and finds that it is still difficult for shared bikes to obtain positive income. Then, a model of American continuous-installment options is put forward for another kind of shared economic project. Under certain boundary conditions, the numerical solution of the corresponding partial differential equation is obtained, and shared economic projects such as shared house renting are analyzed. The conclusion is drawn that the project income can be positive. This model, in some sense, solves the practical problem that it is hard to price with Black-Scholes model. The above models can be used to evaluate the shared economic projects, which can calculate the project income under the consideration of risk and help the investors make a reasonable decision. The corresponding parameter analysis and sensitivity analysis can ensure the reliability of the conclusion.

关 键 词：期权定价模型 实物期权 数值解 共享经济项目 价值评估 

分 类 号：F830.9[经济管理—金融学]