实物期权定价及其应用研究

发布时间：2018-04-12 10:49

本文选题：实物期权 + 不确定性　；参考：《辽宁大学》2013年硕士论文

【摘要】：今天在信息技术方面取得的进步，已经极大地改变了人们的思想意识，企业的经营管理环境也发生着重大而深刻的变化，这就需要企业，密切关注自己所面对的风险和不确定性，把握好市场的脉搏，正确地选择的投资方向，并准确地控制投资规模与相关风险。从前人们对投资项目进行评价的时候，总是采用经典的NPV方法，而该法有好处，但是也有一些缺点，它主要适用于未来收益确定、风险较小的投资项目。但它不能很好的灵活指导投资者处理投资问题，这就需要新的投资评价方法和理念，而这正是本文中所提出的评价方法和思想了。实物期权是金融期权在实务投资过程中的发展和应用，是当前最前沿的投资评价方法之一。作为对NPV法的发展和推广，实物期权法为传统的投资评估方法提供了新的分析方法和研究思路，这种新的理论方法的价值也正在逐渐被投资者所接受。这种评价方法在国外已经被研究了很多年，但国内的研究基本上仍处于起步阶段，这篇论文正是在国外的研究经验的基础上，根据历史数据为通信技术项目建立相应的评价模型，通过模型分析判断投资与否。本论文文首先介绍了其研究的背景和意义，然后简单的叙述了实物期权的研究现状，之后又简要介绍了研究目标、研究内容和研究框架，最后讨论了论文所用到的研究方法以及创新之处。本论文的第一、二章作为本文的理论部分，先是重点对传统的评价方法、金融期权、实物期权理论和定价方法进行了讨论，以奠定论文的应用程序基础。然后对通信技术项目期权进行研究，对于里面所有的类型、性质情况进行分析，最后选择一个可用的评估框架。本论文的第三章自然成为本文的第三部分，，主要是理论模型的实证检验以及应用，使用第三章选择的评估框架对通信企业的一个技术投资项目进行应用，然后对这几种评价方法进行实证检验及分析。最后一章得出本论文的结论，并且提出了在运用实物期权应该注意到的问题，以及对策建议，这些都可为以后的应用可以起到相应的指导作用。
[Abstract]:Today's progress in information technology has greatly changed people's ideology, and the business environment of enterprises has undergone significant and profound changes, which requires enterprises,We pay close attention to the risks and uncertainties we face, grasp the pulse of the market, choose the right investment direction, and accurately control the investment scale and related risks.In the past, when people used to evaluate investment projects, they always used the classical NPV method. But this method has some advantages, but also has some disadvantages. It is mainly suitable for future investment projects with lower risk.However, it can not guide investors to deal with investment problems, which requires new investment evaluation methods and ideas, and this is exactly the evaluation methods and ideas proposed in this paper.Real option is the development and application of financial option in the process of practical investment, and it is one of the most advanced investment evaluation methods.As the development and extension of the NPV method, the real option method provides a new analytical method and research idea for the traditional investment evaluation method, and the value of this new theoretical method is gradually accepted by investors.This evaluation method has been studied in foreign countries for many years, but the domestic research is still in its infancy. This paper is based on the research experience of foreign countries.This paper first introduces the background and significance of the research, then briefly describes the research status of real options, and then briefly introduces the research objectives, research content and research framework.Finally, the research methods and innovations used in this paper are discussed.The first and second chapters of this paper are the theoretical part of this paper. Firstly, the traditional evaluation methods, financial options, real options theory and pricing methods are discussed in order to lay the foundation of the application program of the thesis.Then it studies the option of communication technology project, analyzes all the types and properties of the project, and finally selects an available evaluation framework.Then empirical test and analysis of these evaluation methods are carried out.The last chapter draws the conclusion of this paper, and puts forward the problems that should be noticed in the application of real options, as well as the countermeasures and suggestions, which can play a corresponding guiding role in the future application.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.59

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