不确定环境下实物期权定价与应用

发布时间：2018-04-19 22:23

本文选题：实物期权 + O-U随机过程　；参考：《西南财经大学》2013年硕士论文

【摘要】：由于投资项目具有不可逆性、不确定性和可延迟性,使得以净现值法为代表的传统资本预算方法越来越跟不上战略投资决策的发展需要,而实物期权方法作为一种决策工具,考虑了管理柔性策略所蕴含的价值,受到理论界和业界的重视,而合理而准确的定价方法是应用实物期权的关键,所以本文着重对实物期权定价与应用进行研究。本文的主要工作在于,一是采用数学模型来论证了传统资本预算方法容易低估投资项目价值,可能会导致投资决策出现偏差,而实物期权可以有效评估投资项目价值。二是采用O-U过程和指数O-U过程来作为实物期权标的资产的价格运动模式,并进行分析和推导,得出重要结论；三是在重要结论的基础之上并采用蒙特卡洛模拟方法,对一个铝矿开采项目进行定价和应用探讨。本文内容安排：第一部分从现实问题出发,探讨了论文的研究背景与现实意义,并仔细论述了国内外关于实物期权理论、定价与应用的各种文献；第二部分从期权和实物期权的定义出发,分析了实物期权的核心思想、分类,同时重点分析了实物期权与金融期权的联系与差异,为后文定价部分探讨埋下伏笔；第三部分先是介绍了传统资本预算方法的净现值估价法,并说明传统资本预算方法容易低估投资项目的价值,接着就开始介绍B-S定价模型、有限差分方法和二叉树期权定价模型,然后开始了标的资产服从O-U过程和指数O-U过程的期权定价研究,并且最后对O-U过程做了进一步分析,得出了期望、方差和协方差。第四部分先是介绍了蒙特卡洛模拟方法,然后介绍了O-U过程的蒙特卡洛模拟算法及MATLAB程序,然后对一个铝矿开采项目进行分析,“孪生资产”采用上海期货交易所铝期货合约,同时采用文华财经沪铝每月指数收盘价数据进行研究,并且变化部分重要参数来观察对最终结果所产生的影响,最后模拟了服从指数O-U随机过程的期权路径图。
[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.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224

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