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汇率和需求不确定下跨国投资决策的实物期权分析 被引量：1

Applying Real Options to Global Investment Decision under Exchange Rate Uncertainty and Demand Uncertainty
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摘要 在对实物期权理论和跨国投资相关文献研究基础上,分析企业在汇率和需求不确定条件下跨国投资的风险和期权特征,构建了基于实物期权思想的跨国投资决策模型。通过数值求解,分析了跨国投资情况下,企业拥有的实物期权价值。 Based on the literature review of real options and global investment ,the characteristics and risk of global investment under uncertainty of exchange rate and demand are analyzed.A model based on real options for global investment is developed.A numerical result is given to illustrate the value of global investment according to real options theory.
作者 许民利 李磊
机构地区 中南大学商学院
出处 《价值工程》 2007年第7期10-13,共4页 Value Engineering
基金 国家自然科学基金资助(编号:70471048)
关键词 实物期权 跨国投资 汇率不确定性 需求不确定性 real option global investment exchange rate uncertainty demand uncertainty
分类号 F820 [经济管理—财政学] F832.48 [经济管理—金融学]
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参考文献15

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同被引文献24

  • 1周华.汇率不确定性与FDI[J].南方经济,2006,35(10):104-114. 被引量：6
  • 2薛明皋,龚朴.多个不确定性因素下跨国公司投资策略[J].中国管理科学,2007,15(2):39-46. 被引量：5
  • 3Zhang P.G.,1998,Exotic Option,Worm Scientific,Singapore.
  • 4余永定,2008,《当前形势下的中国宏观经济政策》,中国社会科学院世界经济与政治研究所国际金融研究中心内部讨论稿No.08081.
  • 5Dornbusch R. , 1987, Exchang rates and prices, American Economic Review 77,pp 93 - 106.
  • 6Aizenman J.and N.Marion,2004,The Merits of Horizontal versus Vertical FDI in the Presence of Uncertainty,Journal of International Economics,62,125-148.
  • 7Aizenman J.and N.Marion,1999,Volatility and Investment:Interpreting Evidence from Developing Countries,Economica,66,157-179.
  • 8Aizenman J.,1992,Exchange Rate Flexibility,Volatility and Domestic and Foreign Direct Investment,IMF Staff Papers,39(4).
  • 9Aizenman J.,1994,Monetary and Real Shock,Productive Capacity and Exchange Rate Regime,Economica,November,407-434.
  • 10Bell K.G.,1994,Volatile Exchange Rate and the Multinational Firms:Entry,Exit and Capacity Options,in L.Trigeorgis(ed),Real Options in Capital Investment:New Contributions,New York,Praeger.

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价值工程
2007年 第7期

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