摘要
研究了投资决策期权估值问题,基于熵定价理论,结合美式期权解析近似计算方法,建立了投资决策期权价值估算的算法模型,该模型框架可应用于实物期权价值的数值方法求解。
This paper studyies the evaluation problem of real-options for investment decisions. The essential characteristics of real-options reveal that this option is similar with the American option. With the Geske-Johnson＇s method of analytical approximation for American option,this paper estalishes an entropy model of real-options evaluation for investment decisions,making use of the entropy pricing model. It also presents the arithmetic process and one numerical example in the end.
出处
《系统工程理论方法应用》
北大核心
2005年第4期356-359,共4页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金资助项目(70372011)
高校博士点专项科研基金资助项目(20030006009)
关键词
期权定价
熵
风险中性概率密度
GAMMA函数
options pricing
entropy
risk-neutral probability density
gamma function.
