技术创新投资项目实物期权定价

发布时间：2018-03-29 14:46

本文选题：技术创新　切入点：实物期权　出处：《电子科技大学》2002年硕士论文

【摘要】： 技术创新项目投资属于风险投资。传统的DCF方法无法把握技术创新在RD的各个阶段中的不确定性，具有同金融期权相似特征的实物期权能够抓住项目中的不确定性，并能够正确评估技术创新项目中所含的灵活性价值，但是实物期权的应用存在着许多的困难。本论文对技术创新投资项目的实物期权定价进行了研究和应用。第一，在总体上对实物期权的概念和在技术创新投资中的应用进行了阐述和评价，指出了今后研究的方向。第二，深入分析实物期权应用框架和计算方法，利用Gesk公式、Black-Scholes公式、Carr公式和Margrabe公式对具体的实例进行了计算比较，又采用二项网格法、有限差分方法和蒙特卡罗方法对实例进行了模拟计算。具体的实例分析结论认为，在以后的实际应用中，Copeland和Antikarov提出的求解实物期权的步骤，，同时结合易于编程实现的二项网格法和蒙特卡罗模拟方法，具有一定的实用性和可操作性。第三，按照Copeland和Antikarov的方法和步骤，利用二项网格法，通过编制程序对优立公司的MMDS项目进行了定价。最后，整理了三个实物期权对技术创新投资项目定价的案例，并对定价方法进行了评述。
[Abstract]:The traditional DCF method can not grasp the uncertainty of technological innovation in all stages of Rd, and the real options with similar characteristics as financial options can grasp the uncertainty in the project. It can correctly evaluate the flexibility value of technological innovation projects, but there are many difficulties in the application of real options. In this paper, the real option pricing of technological innovation investment projects is studied and applied. Firstly, the concept of real option and its application in the investment of technological innovation are expounded and evaluated, and the research direction in the future is pointed out. Secondly, the application frame and calculation method of real option are deeply analyzed, and the concrete examples are calculated and compared by using Gesk formula Black-Scholes formula and Margrabe formula, and the binomial grid method is adopted. The finite difference method and Monte Carlo method are used to simulate the example. The concrete example analysis concludes that in the future practical application, Copeland and Antikarov put forward the steps to solve the real option. At the same time, the binomial mesh method and Monte Carlo simulation method, which are easy to be realized by programming, have some practicability and maneuverability. Thirdly, according to the methods and steps of Copeland and Antikarov, using the two-grid method, the pricing of MMDS project of Youli Company is carried out by programming. Finally, three real options pricing cases of technological innovation investment projects are sorted out, and the pricing methods are reviewed.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2002
【分类号】：F062.4

【引证文献】