因果复合期权定价模型及应用

发布时间：2018-04-10 01:20

本文选题：风险投资　切入点：多阶段　出处：《西安工程大学》2012年硕士论文

【摘要】：多阶段的风险投资一般都是在不确定环境下进行的，蕴藏着失败的风险．这种风险性决定了投资评价方法的重要性．传统的净现值评价方法忽略了初始投资带来的增长机会以及投资者灵活把握投资策略所带来的增值，导致往往低估了投资项目的价值，从而丧失了一些投资的机会．而因果复合期权克服了这些缺点，近年来，作为一种评估工具广泛应用于各类投资项目的估值问题的研究中．本文在前人研究的基础上，分两种情况扩展了因果复合期权的定价模型，并进行了具体案例应用和对某些因素的敏感性分析．全文共分为五章．第一章，介绍了期权定价理论的研究历史和现状，阐明了选题背景和意义，，以及本文研究的主要内容和技术路线．第二章，本文在不考虑外部因素影响，即不加“跳”的情况下，由经典的Black-Scholes、Geske模型分析入手，在此框架下由简单因果复合期权扩展到多阶段因果复合期权，并运用求解偏微分方程的方法求解出了该多阶段因果复合期权的定价模型．进而进行了简单的进一步扩展，每层期权考虑了看涨和看跌两种情况，同时考虑了利率、分红比率、波动率为依赖于时间的函数的情况．第三章，本文在考虑外部因素影响，即加“跳”的情况下，由经典的Black-Scholes-Merton模型分析入手，假定在多重突发事件的影响下，期权价值的变动服从跳—扩散过程，建立起了基于跳—扩散过程的多阶段因果复合期权定价模型，并得到了拥有封闭解的数学公式，使得多阶段因果复合期权的应用更加适合于这个竟争广泛存在且日益激烈的社会．第四章，本文针对于某生物医药研发项目的具体案例，分别应用了两种考虑情况下的多阶段因果复合期权定价公式，帮助投资公司决定是否进行初始投入，得知风险投资应该尽量地避免外部信息的干扰．并且对某些因素进行了敏感性分析，也得到了一些有益于风险投资决策的结论．第五章，总结了本文研究的主要结论，并且提出了有待进一步研究的问题．
[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.

【学位授予单位】：西安工程大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.9;F224

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