平行复合实物期权的定价的研究_扈文秀.pdfVIP

2006 11 11 : 1000-6788( 2006) 11-0026-07 扈文秀, 甄士民, 樊宏社 ( , 710054) : , , : . : ; ; : F83059 : A Research on the Pricin of the Parallel Compound Real Options HU Wen-xiu, ZHEN Shi-min, FAN Hon-she ( School of Business Administration, Xi an University of T echnolo y, Xi an 710054, China) Abstract: At present, the research on the pricin of compound real options is mainly limited to casual compound ones. The papers about the pricin of parallel compound real options are very few. The main contribution of this paper is to have put forward a pricin model about the parallel compound real options and to have appraised the value of a investment project with parallel compound real options. Key words : real options; parallel compound; option pricin 0 , t T ; ; L F , , . . , , ( ) . , , , . : , ; , , . :Tri eor is( 1993) Kulatilaka( 1995) [ 2] . Kester[ 3] ( 1993) ; , . Rainer Brosch( 2001) [ 8] , . . ( ) , , . : 2005-09-22 : ( ; ( 107-210302) : ( 1942- ) , , , , , : ; ( 1981- ) , , , , : ; ( 1978- ) , , , , : . 11 27 , . , . 1 1) t = 0, . . , . , k ( k = 0, 1, , n) , k = 0 0 ( t = 0 ) , . , k = 0 1. 2) ( ) , 1. 表1 含平行复合实物期权的投资项目( 机会) 价值运动的参 V0 u d p t r , er t - d e t e - t 1 u - d 3) , , ( ) , . . ,