摘要
根据现代期权理论将投资决策机会视作一种期权 ,当投资价值 (V)和初始支出 (C)是随时间变化的维纳过程时 ,根据 Black- Scholes公式给出投资机会的定价模型 .当 V和 C是 H(H≠ 1/2 )指数的分数布朗运动时 ,则 Ito微分方程形式将改变 ,Black- Scholes公式失效 .讨论了 H指数对投资决策的影响 ,给出此时根据
The pricing model of investment opportunity, regarded as a kind of option on the basis of the option theory, can be formed through the Black Scholes formula. But Ito differential equation is changed and the Black Scholes formula is no longer in force when the project value (V)and initial investment expenditure(C) follow FBM of H index(H≠1/2). The influence of H index on making investment decision is discussed. Finally, steps and tactics to make investment decision are formed on the basis of H index.
出处
《系统工程学报》
CSCD
2001年第1期45-49,共5页
Journal of Systems Engineering
基金
国家自然基金资助项目 !(79970 0 43 )
关键词
分数布朗运动
HURST指数
投资机会选择
投资决策
金融
fractal Brownian motion
Hurst index
investment opportunity option
investment decision making
