本文選題：實(shí)物期權(quán)　切入點(diǎn)：資本預(yù)算　出處：《武漢科技大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：企業(yè)價(jià)值最大化目標(biāo)客觀上要求管理層通過做出合理有效的長(zhǎng)期資本投資決策來盡可能的創(chuàng)造價(jià)值，而選擇適當(dāng)?shù)馁Y本預(yù)算方法是企業(yè)通過長(zhǎng)期投資獲得增值價(jià)值的重要途徑。目前財(cái)務(wù)領(lǐng)域已經(jīng)形成了以現(xiàn)金流量折現(xiàn)模型（DCF）為主的傳統(tǒng)資本預(yù)算方法體系。然而，傳統(tǒng)資本預(yù)算方法忽視了管理層在不確定條件下所能做出的主觀選擇權(quán)以及存在于投資項(xiàng)目中的機(jī)會(huì)價(jià)值（即期權(quán)價(jià)值），從而導(dǎo)致決策偏離甚至決策失誤。鑒于此，本文探討了在進(jìn)行項(xiàng)目投資決策時(shí)將現(xiàn)金流量折現(xiàn)模型與實(shí)物期權(quán)定價(jià)方法結(jié)合起來的決策模式，以便優(yōu)化和完善企業(yè)資本預(yù)算決策方法體系。 本文首先從財(cái)務(wù)學(xué)與金融學(xué)理論出發(fā)對(duì)實(shí)物期權(quán)、實(shí)物期權(quán)定價(jià)方法及其應(yīng)用進(jìn)行分析，提出了將期權(quán)定價(jià)方法引入到資本預(yù)算并且應(yīng)用于實(shí)物資產(chǎn)管理的基本思想，然后對(duì)如何通過基于實(shí)物期權(quán)的資本預(yù)算方法改進(jìn)體系進(jìn)行研究，，包括從布萊克-期科爾期定價(jià)模型和二項(xiàng)式期權(quán)定價(jià)模型對(duì)傳統(tǒng)凈現(xiàn)值進(jìn)行改進(jìn)分析。最后，通過實(shí)物資產(chǎn)案例分析對(duì)這兩個(gè)改進(jìn)的資本預(yù)算方法模型進(jìn)行檢驗(yàn)。 本文共分為六章，主要圍繞如何進(jìn)行資本預(yù)算方法改進(jìn)展開研究。第一章闡述了研究背景及意義，分別從國(guó)內(nèi)與國(guó)外兩個(gè)方面對(duì)當(dāng)前的有關(guān)文獻(xiàn)進(jìn)行分析，并說明主要研究方法；第二章對(duì)現(xiàn)金流量折現(xiàn)方法包括凈現(xiàn)值法、內(nèi)含報(bào)酬率法等傳統(tǒng)方法進(jìn)行剖析，分述其內(nèi)容及理論基礎(chǔ)并給出相應(yīng)示例；第三章從金融學(xué)及財(cái)務(wù)學(xué)的視角對(duì)實(shí)物期權(quán)進(jìn)行概述，說明其含義、類型、影響因素以及相關(guān)性等，通過對(duì)期權(quán)定價(jià)原理的相關(guān)描述，說明將現(xiàn)金流量折現(xiàn)法與實(shí)物期權(quán)法相結(jié)合的原因；第四章闡述了基于實(shí)物期權(quán)的資本預(yù)算方法改進(jìn)體系的構(gòu)建，包括建立從布萊克-期科爾期定價(jià)模型和二項(xiàng)式期權(quán)定價(jià)模型對(duì)傳統(tǒng)凈現(xiàn)值進(jìn)行改進(jìn)的過程；第五章進(jìn)行案例研究，選取A珠寶公司和B礦業(yè)公司的投資項(xiàng)目決策問題進(jìn)行數(shù)據(jù)實(shí)證分析。實(shí)證結(jié)果表明，相比單一的傳統(tǒng)的資本預(yù)算方法亦或是單一的實(shí)物期權(quán)方法，改進(jìn)的資本預(yù)算方法在解決復(fù)雜的資本預(yù)算決策問題方面具有顯著的優(yōu)勢(shì)。第六章是對(duì)基于實(shí)物期權(quán)的資本預(yù)算方法改進(jìn)體系的總結(jié)，并對(duì)未來方法體系的完備與改進(jìn)提出了展望。
[Abstract]:The goal of maximizing enterprise value objectively requires management to create value as much as possible by making reasonable and effective long-term capital investment decisions. The choice of appropriate capital budgeting method is an important way for enterprises to gain value-added value through long-term investment. At present, the traditional capital budgeting system based on cash flow discounted model (DCFF) has been formed in the financial field. However, The traditional capital budgeting method ignores the subjective option that management can make under uncertain conditions and the opportunity value (i.e. option value) that exists in the investment project, which leads to the decision deviation and even the decision error. This paper discusses the decision mode of combining the cash flow discount model with the real option pricing method when making project investment decision, in order to optimize and perfect the decision system of enterprise capital budget. Based on the theory of finance and finance, this paper analyzes the real options, the real option pricing methods and their applications, and puts forward the basic idea of introducing the option pricing method into the capital budget and applying it to the real asset management. Then it studies how to improve the system of capital budgeting based on real options, including the improvement analysis of traditional net present value from Black-Curr pricing model and binomial option pricing model. The two improved capital budgeting models are tested by case study of physical assets. This paper is divided into six chapters, mainly focusing on how to improve the capital budgeting methods. Chapter 1 describes the background and significance of the research, respectively from the domestic and foreign aspects of the current literature analysis. The second chapter analyzes the traditional methods, such as net present value method, internal rate of return method and so on, describes its content and theoretical basis and gives corresponding examples. The third chapter summarizes the real option from the perspective of finance and finance, explains its meaning, type, influencing factors and correlation, and describes the principle of option pricing. The paper explains the reason of combining the discounted cash flow method with the real option method. Chapter 4th expounds the construction of the improvement system of the capital budgeting method based on the real option. Including the establishment of Black-Curr pricing model and binomial option pricing model to improve the traditional NPV; 5th chapter case study, The empirical results show that compared with the single traditional capital budget method or the single real option method, A jewelry company and B mining company make empirical analysis on the investment project decision. The improved capital budgeting method has significant advantages in solving complex capital budget decision problems. Chapter 6th summarizes the improvement system of capital budget method based on real options. The prospect of the perfection and improvement of the method system in the future is also put forward.
【學(xué)位授予單位】：武漢科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.42

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