关于一类具有随机跳幅度的科技项目复合期权定价模型的研究

发布时间：2018-01-11 05:02

本文关键词：关于一类具有随机跳幅度的科技项目复合期权定价模型的研究　出处：《河北工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：科技项目研发的风险投资往往是一个n阶段的投资过程,我们可以把这个n阶段的投资过程比成n阶段的复合期权。本文构建了一个面临经济和技术双重不确定性的科技项目复合期权风险投资定价模型,将经济方面的不确定性建模为几何布朗运动,将技术方面的不确定性建模为泊松跳过程,技术失败发生意味着泊松跳发生,经典的复合期权模型中假设泊松跳的幅度、泊松失败概率和波动率在项目的整个周期内都是常数,本文首先将泊松跳的幅度推广为一个符合对数正态分布的随机变量,然后假设波动率和泊松失败率为依赖于时间的非随机函数,并分别导出了复合期权价值的闭式解。因为现实中随着时间的推移,项目价值的波动率往往有所减小,单位时间内技术失败事件发生的概率也会下降,并且技术失败事件对项目价值的影响也是不相同,所以这种推广具有更好的现实指导意义。
[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.
【学位授予单位】：河北工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.9;O211.6

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