本文關(guān)鍵詞：關(guān)于一類具有隨機(jī)跳幅度的科技項(xiàng)目復(fù)合期權(quán)定價(jià)模型的研究　出處：《河北工業(yè)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 科技項(xiàng)目 研發(fā) 復(fù)合期權(quán) 擴(kuò)散過程 跳擴(kuò)散過程 隨機(jī)跳幅度

【摘要】：科技項(xiàng)目研發(fā)的風(fēng)險(xiǎn)投資往往是一個(gè)n階段的投資過程,我們可以把這個(gè)n階段的投資過程比成n階段的復(fù)合期權(quán)。本文構(gòu)建了一個(gè)面臨經(jīng)濟(jì)和技術(shù)雙重不確定性的科技項(xiàng)目復(fù)合期權(quán)風(fēng)險(xiǎn)投資定價(jià)模型,將經(jīng)濟(jì)方面的不確定性建模為幾何布朗運(yùn)動(dòng),將技術(shù)方面的不確定性建模為泊松跳過程,技術(shù)失敗發(fā)生意味著泊松跳發(fā)生,經(jīng)典的復(fù)合期權(quán)模型中假設(shè)泊松跳的幅度、泊松失敗概率和波動(dòng)率在項(xiàng)目的整個(gè)周期內(nèi)都是常數(shù),本文首先將泊松跳的幅度推廣為一個(gè)符合對(duì)數(shù)正態(tài)分布的隨機(jī)變量,然后假設(shè)波動(dòng)率和泊松失敗率為依賴于時(shí)間的非隨機(jī)函數(shù),并分別導(dǎo)出了復(fù)合期權(quán)價(jià)值的閉式解。因?yàn)楝F(xiàn)實(shí)中隨著時(shí)間的推移,項(xiàng)目?jī)r(jià)值的波動(dòng)率往往有所減小,單位時(shí)間內(nèi)技術(shù)失敗事件發(fā)生的概率也會(huì)下降,并且技術(shù)失敗事件對(duì)項(xiàng)目?jī)r(jià)值的影響也是不相同,所以這種推廣具有更好的現(xiàn)實(shí)指導(dǎo)意義。
[Abstract]:The venture capital of R & D of science and technology projects is usually an n-stage investment process. We can compare the investment process of this n-stage to the compound option of n-stage. In this paper, we construct a venture capital pricing model of the compound option of science and technology project which faces the double uncertainty of economy and technology. The economic uncertainty is modeled as geometric Brownian motion, and the technical uncertainty is modeled as Poisson jump process. The classical composite option model assumes that the Poisson jump amplitude, Poisson failure probability and volatility are constant throughout the project cycle. In this paper, we first generalize the amplitude of Poisson's jump to a random variable with logarithmic normal distribution, and then assume that volatility and Poisson's failure rate are time-dependent non-random functions. The closed solution of the value of composite option is derived, because in reality, the volatility of project value decreases with time, and the probability of technical failure in unit time also decreases. And the impact of technology failure on project value is also different, so this promotion has better practical significance.
【學(xué)位授予單位】：河北工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F830.9;O211.6

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本文編號(hào)：1408187