实物期权方法在多项目预算决策中的应用  

Budgeting Decision on Multiple Projects by Real Option Method

作　　者：管曙荣[1] 史云[1] 聂红梅[1] 黄小原[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2003年第7期707-709,共3页Journal of Northeastern University(Natural Science)

基　　金：辽宁省自然科学基金资助项目(9910200208).

摘　　要：研究了实物期权方法在可推迟的多项目预算决策中的应用·通过二叉树方法描述了项目价值随时间变化的路径,进而构造出多项目资本预算决策的模型,并探讨了根据实际需要如何对模型的各种限制条件进行调整·与净现值法相比,实物期权方法考虑了项目的投资机会价值,能求得在资本预算限制下公司可以投资的具有内在期权价值的项目组合,因而可以对公司战略决策中高不确定性项目的投资决策提供支持·The method of real option is compared with the method of net present value (NPV) to deal with decisionmaking on project with high uncertainty. The application of real option method on budgeting decision on multiple projects that can be deferred was studied. The project value as a function of time using binomial tree was considered to set up a model for budgeting decision on multiple projects. Modification of the model in need of the reality was also discussed. The model can be very important to support the decisionmaking of company's investment strategy.

关 键 词：实物期权 不确定性 资本预算 多项目决策 净现值 二叉树 

分 类 号：F830.59[经济管理—金融学]