本文選題：風險投資　切入點：多階段　出處：《西安工程大學》2012年碩士論文

【摘要】：多階段的風險投資一般都是在不確定環(huán)境下進行的，蘊藏著失敗的風險．這種風險性決定了投資評價方法的重要性．傳統(tǒng)的凈現(xiàn)值評價方法忽略了初始投資帶來的增長機會以及投資者靈活把握投資策略所帶來的增值，導致往往低估了投資項目的價值，從而喪失了一些投資的機會．而因果復合期權克服了這些缺點，近年來，作為一種評估工具廣泛應用于各類投資項目的估值問題的研究中． 本文在前人研究的基礎上，分兩種情況擴展了因果復合期權的定價模型，并進行了具體案例應用和對某些因素的敏感性分析．全文共分為五章． 第一章，介紹了期權定價理論的研究歷史和現(xiàn)狀，闡明了選題背景和意義，，以及本文研究的主要內(nèi)容和技術路線． 第二章，本文在不考慮外部因素影響，即不加“跳”的情況下，由經(jīng)典的Black-Scholes、Geske模型分析入手，在此框架下由簡單因果復合期權擴展到多階段因果復合期權，并運用求解偏微分方程的方法求解出了該多階段因果復合期權的定價模型．進而進行了簡單的進一步擴展，每層期權考慮了看漲和看跌兩種情況，同時考慮了利率、分紅比率、波動率為依賴于時間的函數(shù)的情況． 第三章，本文在考慮外部因素影響，即加“跳”的情況下，由經(jīng)典的Black-Scholes-Merton模型分析入手，假定在多重突發(fā)事件的影響下，期權價值的變動服從跳—擴散過程，建立起了基于跳—擴散過程的多階段因果復合期權定價模型，并得到了擁有封閉解的數(shù)學公式，使得多階段因果復合期權的應用更加適合于這個竟爭廣泛存在且日益激烈的社會． 第四章，本文針對于某生物醫(yī)藥研發(fā)項目的具體案例，分別應用了兩種考慮情況下的多階段因果復合期權定價公式，幫助投資公司決定是否進行初始投入，得知風險投資應該盡量地避免外部信息的干擾．并且對某些因素進行了敏感性分析，也得到了一些有益于風險投資決策的結論． 第五章，總結了本文研究的主要結論，并且提出了有待進一步研究的問題．
[Abstract]:Multi stage venture investment is generally in an uncertain environment, bears the risk of failure. This risk determines the importance of the investment evaluation method. The traditional NPV method ignores the initial investment to bring growth opportunities and investors grasp the flexible investment strategy to bring value-added, to tend to underestimate the investment project the value, thus losing some investment opportunities. But the causal compound option overcomes these shortcomings, in recent years, research on the valuation problem as an assessment tool is widely used in various types of investment in the project.
On the basis of previous studies, this paper extends the pricing model of causal compound options in two cases, and makes specific case applications and sensitivity analysis of some factors. The full text is divided into five chapters.
The first chapter introduces the history and present situation of the option pricing theory, clarifies the background and significance of the topic, and the main content and technical route of this study.
The second chapter in this paper does not consider the influence of external factors, that is not "jump", from the classic Black-Scholes, starting with the analysis of Geske model, under this framework by a simple causal compound option is extended to multi stage causal compound options, and solved by solving partial differential equation method of the pricing model of the multi stage causal compound option. Then made a further expansion of the simple, each option is considered bullish and bearish two cases, while taking into account the interest rate, dividend rate, the situation as a function of time dependent volatility.
The third chapter, based on the consideration of external factors, i.e. "jump", by the classical Black-Scholes-Merton model analysis, assuming the influence of multiple events, the option value change obeys jump diffusion process, establish the pricing model of multi stage causal compound option in jump diffusion process based on and have the closed mathematical formula of the solution, the application of multi stage causal compound option is more suitable for this competition is widespread and increasingly fierce society.
The fourth chapter, the specific case in the research project of a biological medicine, respectively, using two kinds of multi-stage compound option pricing formula of causality in the conditions of considering, help investment company decides whether the initial investment, that investment risk should try to avoid the interference of external information. And for some factors of sensitivity analysis, has also been some useful in risk investment decisions.
In the fifth chapter, the main conclusions of this study are summarized, and the problems to be further studied are put forward.

【學位授予單位】：西安工程大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.9;F224

【參考文獻】

相關期刊論文 前8條

1 齊安甜,張維;基于成長期權的企業(yè)價值評估模型[J];管理工程學報;2003年01期

2 張學超;宣國良;;具有隨機利率和波動率的復合期權定價[J];華東交通大學學報;2006年04期

3 鄒紹輝;張金鎖;惠莉萍;;基于跳躍-擴散過程的煤炭資源采礦權估價模型[J];能源技術與管理;2007年05期

4 朱東辰,余津津;論風險投資中的風險企業(yè)價值評估——一種基于多階段復合實物期權的分析[J];科研管理;2003年04期

5 喬華;資源開發(fā)項目中實際期權的價值[J];世界經(jīng)濟;2000年06期

6 楊芝艷;茹正亮;;levy模型下復合期權的定價[J];西南師范大學學報(自然科學版);2010年04期

7 馮晨嬌;劉維奇;;基于復合期權的R&D項目投資評價[J];研究與發(fā)展管理;2008年02期

8 鄭德淵;基于跳躍過程的復合期權定價模型[J];中國管理科學;2004年01期

本文編號：1729029