实物期权在项目值评估中的应用.pdf

图表目录 图3.1股票价格与买权价值 9 1 图3.2股票价格与买权价值 0 2 图3.3项目价值与孪生证券价格……，，，.二 卜.….…‘…，，. 2 2 图3.4项 目它用价值A，二，...……，…… 2 5 图3.5a=0.2,0.3时的F(V)与V的关系.，… ……‘… 3 1 图3.68=。.04,0.08时的F(V)与V的关系……，，… 3 1 图4.1影响期权组合价值的因素..…价.卜….…‘…，二，..卜…‘… 9 3 表 1.1净现值法与实物期权法的比较…… 0 1 表 4.1多项实物期权的相互作用..… …，.，. …… 4 1 表 4.2放弃期权和扩张期权的相互作用VS期权执行时间间隔.二， 4 2 表 4.3放弃期权和扩张期权的相互作用VS.扩张期权的实值程度 4 3 ABSTRACT Thefundamentallimitationofthetraditionalinvestmenttheoryliesintheirstrong hypothesis:thefuturecashflowcanbeexactlyestimated;themangeronlycantakethe rigidpolicy--donowornever.Intheframeworkofrealoption,theenterpriseisableto activelyadjustmanagementstrategyaccordingtothefuturemarketcondition:notonly theproceedsofprojectkeeptheopportunitytogoup,butalsothebottomofthelossis controlled.TheprojectvaluecanberegardedasthesumofNPVofprojectandthereal options. Thispaperfirstlycomparesrealoptionwithfinancialoption,illuminatesthespecial characterofrealoptionandthegreatlyeffectoffinancialinnovationwhichcanextend theboundandimprovethedegreeofaccuracyofrealoption.Throughthetheoretic analyseandnumericalanalyse,themainbodyofthepapermakesthoroughresearchfrom twosides:firstly,itexpatiatesrisk-neutralpricingandevaluatestheprojectvaluewhich containsoneoption;secondly,evaluatestheprojectvaluewhichcontainscombined optionandexaminesthenatureofoptioninteractionsandoptionvaluenon-additivity. SummaryandRevelation:firstly,intherfameworkofrealoption,themoreriskof project,themoreva