基于black——scholes实物期权定价模型的发电商投资决策分析 the generation investment decision based on the black--scholes real option pricing model.pdfVIP

第36卷第12期 电力系统保护与控羽 、，01．36No．12 June 2008年6月16日 Power ProtectionandControl 16，2008 System 基于Black--Scholes实物期权定价模型的 发电商投资决策分析 袁德，李宜君，董全学，刘玮 (华北电力大学工商管理学院，北京102206) 传统的电源投资决策方法依赖项目净现值等缺点．通过算例对电源建设投资项目的期权进行了估价，表明将实物期权理论应 用到电源建设投资决策中是可行的。 关键词：发电商；Black—Sch01es期权定价模型；实物期权； 投资决策 The investmentdecisionbasedontheBlack--Scholesreal model generation optionpricing YUAN Wei ， De，LIYi-jun，DONGQuan-xue，LIE ofBusiness ChinaElectricPower Administration,North 102206,China) (Department University,Beijing is the Abstract：Thisconcludesthatthereal modelfor investments to paper option generation corresponding model intothecharactersof and inthe environments． optionpricing projectsoptionpropertiescompetitive considering generation setstheBlack--Scholesreal modeland itintothe ofthe Then，itup option decision-makinggenerationprojects，which pricing puts that thenel canavoidthe the oftraditional on disadvantage generationprojectsdependingpresent decision—making is showsthatitisfeasible onthe modelof investment well·developedoptionpricingtheory，adelayedoption generation d