摘要
指出传统的现金流折现法在项目投资具有时间选择下的不足，说明投资机会可以看成一个美式购买期权，只要项目的价值具有不确定性，投资时间选择权就具有价值．假定投资项目的价值和初始投资支出是随时间变化的几何布朗运动，利用期权定价的理论和方法，给出了投资时间选择权带来的投资机会的价值和相应的投资决策方法．
It is pointed out that traditional investment decision approach is not suitable for the project investment with investment time option,and investment time option can be regrardad as an American call option.It has value whenever underlying asset is uncertain.It is supposed that project value once investment and initial investment expenditure follow geometric Brownian motions.With option pricing model,the value of investment opportunity and investment decision making rule are obtained.Finally,the influence of investment timing option on investment decision making is also discussed.
出处
《系统工程学报》
CSCD
1998年第3期8-12,共5页
Journal of Systems Engineering
关键词
期权定价模型
投资机会
几何布朗运动模型
投资决策
OPM,investment timing option,vaule of investment opportunity,geometric Brownian motion
