本文選題：實物期權(quán) + O-U隨機過程�。� 參考：《西南財經(jīng)大學(xué)》2013年碩士論文

【摘要】：由于投資項目具有不可逆性、不確定性和可延遲性,使得以凈現(xiàn)值法為代表的傳統(tǒng)資本預(yù)算方法越來越跟不上戰(zhàn)略投資決策的發(fā)展需要,而實物期權(quán)方法作為一種決策工具,考慮了管理柔性策略所蘊含的價值,受到理論界和業(yè)界的重視,而合理而準確的定價方法是應(yīng)用實物期權(quán)的關(guān)鍵,所以本文著重對實物期權(quán)定價與應(yīng)用進行研究。 本文的主要工作在于,一是采用數(shù)學(xué)模型來論證了傳統(tǒng)資本預(yù)算方法容易低估投資項目價值,可能會導(dǎo)致投資決策出現(xiàn)偏差,而實物期權(quán)可以有效評估投資項目價值。二是采用O-U過程和指數(shù)O-U過程來作為實物期權(quán)標的資產(chǎn)的價格運動模式,并進行分析和推導(dǎo),得出重要結(jié)論；三是在重要結(jié)論的基礎(chǔ)之上并采用蒙特卡洛模擬方法,對一個鋁礦開采項目進行定價和應(yīng)用探討。 本文內(nèi)容安排：第一部分從現(xiàn)實問題出發(fā),探討了論文的研究背景與現(xiàn)實意義,并仔細論述了國內(nèi)外關(guān)于實物期權(quán)理論、定價與應(yīng)用的各種文獻；第二部分從期權(quán)和實物期權(quán)的定義出發(fā),分析了實物期權(quán)的核心思想、分類,同時重點分析了實物期權(quán)與金融期權(quán)的聯(lián)系與差異,為后文定價部分探討埋下伏筆；第三部分先是介紹了傳統(tǒng)資本預(yù)算方法的凈現(xiàn)值估價法,并說明傳統(tǒng)資本預(yù)算方法容易低估投資項目的價值,接著就開始介紹B-S定價模型、有限差分方法和二叉樹期權(quán)定價模型,然后開始了標的資產(chǎn)服從O-U過程和指數(shù)O-U過程的期權(quán)定價研究,并且最后對O-U過程做了進一步分析,得出了期望、方差和協(xié)方差。第四部分先是介紹了蒙特卡洛模擬方法,然后介紹了O-U過程的蒙特卡洛模擬算法及MATLAB程序,然后對一個鋁礦開采項目進行分析,“孿生資產(chǎn)”采用上海期貨交易所鋁期貨合約,同時采用文華財經(jīng)滬鋁每月指數(shù)收盤價數(shù)據(jù)進行研究,并且變化部分重要參數(shù)來觀察對最終結(jié)果所產(chǎn)生的影響,最后模擬了服從指數(shù)O-U隨機過程的期權(quán)路徑圖。
[Abstract]:Because of the irreversibility, uncertainty and delay of the investment project, the traditional capital budgeting method represented by the net present value (NPV) method is more and more unable to keep up with the development needs of the strategic investment decision, and the real option method is a kind of decision-making tool. Considering the value of management flexibility strategy, the theory and industry attach importance to it, and reasonable and accurate pricing method is the key to the application of real options. Therefore, this paper focuses on the real option pricing and application. The main work of this paper is to use mathematical model to prove that the traditional capital budgeting method is easy to underestimate the value of investment project, which may lead to the deviation of investment decision, and real option can effectively evaluate the value of investment project. The second is to use O-U process and index O-U process as the price movement mode of real option underlying assets, and analyze and deduce, and draw important conclusions; third, on the basis of important conclusions and using Monte Carlo simulation method, The pricing and application of a bauxite mining project are discussed. The first part discusses the research background and practical significance of the paper, and carefully discusses the domestic and foreign literature on the theory, pricing and application of real options; The second part starts from the definition of option and real option, analyzes the core idea and classification of real option, and analyzes the relationship and difference between real option and financial option. The third part first introduces the net present value valuation method of the traditional capital budget method, and explains that the traditional capital budget method is easy to underestimate the value of investment projects, and then begins to introduce the B-S pricing model. Finite-difference method and binomial tree option pricing model are used to study the option pricing of the underlying asset from the O-U process and the exponential O-U process. Finally, the expectation, variance and covariance of the O-U process are obtained by further analysis of the O-U process. The fourth part first introduces Monte Carlo simulation method, then introduces O-U Monte Carlo simulation algorithm and MATLAB program, then analyzes an aluminum mining project, "twin assets" uses Shanghai Futures Exchange aluminum futures contract. At the same time, we use the closing price data of Shanghai Aluminum monthly index of Wenhua Finance and Economics to study the influence of some important parameters on the final results. Finally, we simulate the option path diagram of the O-U stochastic process.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.9;F224

【參考文獻】

相關(guān)期刊論文 前3條

1 楊屹,扈文秀,楊乃定;實物期權(quán)定價理論綜述及未來研究領(lǐng)域展望[J];數(shù)量經(jīng)濟技術(shù)經(jīng)濟研究;2004年12期

2 陳小悅,楊潛林;實物期權(quán)的分析與估值[J];系統(tǒng)工程理論方法應(yīng)用;1998年03期

3 李汶華;丁慧娟;郭均鵬;;基于區(qū)間分析的實物期權(quán)定價[J];系統(tǒng)管理學(xué)報;2012年03期

，

本文編號：1775010