管理人因素对风险项目期权估值的影响  

On the Evaluation Approach of the Real Option for Risky Proiects When Manager Related Factors Are Dealt with

作　　者：扈文秀[1] 叶光[1] 

机构地区：[1]西安理工大学工商管理学院金融系,陕西西安710048

出　　处：《运筹与管理》2003年第1期105-109,共5页Operations Research and Management Science

摘　　要：本文基于对风险项目及其“孪生证券”风险和收益特性的分析 ,认为真正的“孪生证券”实际中很难存在 ,进而提出利用“近似孪生证券”与无风险证券构造资产组合来复制实物期权收益特征 ,利用无风险套利分析确定项目实物期权价值的方法。但考虑到管理人因素造成的实物期权内部风险特征的不可复制性 ,本文进一步提出利用“确定性等值”将内部风险价值V1具体化 ,从而实现对“近似孪生证券”方法进行修正。In this paper,we analyze the risk and revenue charactristic of venture project and its“twin-security”,and find that it's almost impossible to get a perfect “twin-security”in practice,so we suggest that“approximate twin-security”and risk-free security should be used to form asset portfolio to replicate the revenue characteristic of real option,and then project real option can be valued by conducing non-arbitrage analysis.But considering that the internal risk characteristic of real option can't be replicated when manager-related factors are dealt with,we modify the “approximate twin-security”method by using“effective certain equivalent”to make clear internal risk value at last.

关 键 词：风险项目 实物期权 近似孪生证券 管理人因素 确定性等值 

分 类 号：F830.59[经济管理—金融学]