基本资产不可交易的实物期权定价方法研究  

Study on the Pricing Approach to Real Option on No-Traded Assets

作　　者：陈金龙[1] 

机构地区：[1]华侨大学经济管理学院,福建泉州362011

出　　处：《运筹与管理》2003年第6期50-54,共5页Operations Research and Management Science

基　　金：国务院侨办社会科学基金资助项目(02QSK05)

摘　　要：实物期权定价面临的一个主要问题是其基本资产不可交易问题,在这种情况下,通常的解决办法是在市场中寻找一个与该基本资产最为相关的可交易资产,利用可交易资产的价格信息来对特定实物期权进行定价和风险对冲。本文应用随机动态规划法,确定实物期权的最优风险对冲策略所满足的偏微分方程。利用无套利原理,同时还可以得到实物期权的近似市场定价。The major problem for pricing and hedging read option is that of no-traded assets. A natural approach is to find a similar asset, which most correlates with the no-traded asset in the market, and use this for pricing and hedging purposes. In this paper, applying the dynamic programming approach, we obtain the partial differential equation to hedge the real option, and an approximation value is gained under the principle of no-arbitrage

关 键 词：金融学 实物期权定价 动态规划法 不可交易资产 无套利原理 资产定价 

分 类 号：F830.9[经济管理—金融学] O221.3[理学—运筹学与控制论]