摘要
运用实物期权理论的相关知识,研究了多阶段实物期权模型拓展和相互影响关系,以及用蒙特卡罗模拟计算期权价值的问题。Geske模型是分析多阶段实物期权的基础,首先在此基础上进行了拓展分析,描述了多阶段投资过程中应用复合期权的整体思路,然后对多阶段实物期权的相互作用进了分析,阐述了不同类型的实物期权具有不同的相互影响,最后应用蒙特卡罗模拟对此类问题进行了数值分析,使输入变量更加符合实际,计算结果更加容易被理解和认可。
Based on real option theory, it studies expanded multiple real option model and reciprocity, describes the calculation of real option value with Monte Carlo simulation method. Firstly, it carries an expanded analysis based on Geske Model, introduces the holistic means to apply real option model in multiple investment. Then it analyzes the reciprocity of multiple real options to indicate that different real option has different influence to each other. Finally, a numerical analysis with Monte Carlo simulation shows that the input variable more actual and the output are easier to understand and recognize.
基金
陕西省重点投资资助项目(陕发改投资20081662)
陕西省专项科研基金资助项目(2010KJXX-11)
