高技术产业项目实物期权评价方法初步研究
发布时间：2018-09-19 16:08
【摘要】： 本文主要对高技术产业项目的实物期权评价方法进行了初步研究，对实物期权的某些结论进行了验证(例如项目不确定性的增加将会使项目价值增加)，对实物期权方法和DCF法的不同决策结果进行了一定的比较。首先，在对实物期权的研究历史和现状系统回顾的基础上，明确了实物期权具有价值的条件，用实物期权理论对投资项目进行了研究，例如，项目的分类、项目价值的构成等，并对实物期权理论用于项目评价的步骤、方法等做了比较系统的总结，提出了实物期权分析法的基本框架。其次，在一系列假设的基础上，提出了单阶段投资决策的基本模型，分析了规模步长、时间步长、样本数量等参数对模拟结果的影响，给出了该模型的蒙特卡洛模拟算法，并对该模型进行了系统研究，明确了需求的3个参数(需求漂移率、需求的波动率和初始需求)如何对投资决策结果产生影响。最后，结合高技术产业项目的特点，对单阶段投资决策的基本模型进行了扩展，，提出了单阶段投资决策的扩展模型，使该模型的理论意义得到了提高，通过计算机编程的方法给出了扩展模型的算法，对3种可能的决策结果进行了仿真模拟，并对仿真结果进行分析。通过分析发现，初始需求、需求的变化与项目阶段数的不同组合可能导致不同的决策结果。
[Abstract]:This paper mainly studies the real option evaluation method of high-tech industry projects. Some conclusions of real options are verified (for example, the increase of project uncertainty will increase the value of the project), and the different decision results of real option method and DCF method are compared to a certain extent. First of all, on the basis of the systematic review of the history and present situation of real options, this paper clarifies the conditions under which real options have value, and studies the investment projects with real option theory, such as the classification of projects, the composition of project value, and so on. The steps and methods of real option theory used in project evaluation are summarized systematically, and the basic framework of real option analysis is put forward. Secondly, on the basis of a series of assumptions, the basic model of single stage investment decision is put forward, and the influence of the parameters such as scale step, time step size and sample number on the simulation results is analyzed, and the Monte Carlo simulation algorithm of the model is given. The model is studied systematically and how three parameters (demand drift rate, demand fluctuation rate and initial demand) affect the investment decision results are clarified. Finally, combined with the characteristics of high-tech industry projects, the basic model of single-stage investment decision is extended, and the extended model of single-stage investment decision is proposed, which improves the theoretical significance of the model. The algorithm of extended model is given by computer programming. Three possible decision results are simulated and the simulation results are analyzed. It is found that different combinations of initial requirements, changes of requirements and the number of project phases may lead to different decision results.
【学位授予单位】：西安理工大学
【学位级别】：硕士
【学位授予年份】：2002
【分类号】：F062.4
本文编号：2250637
[Abstract]:This paper mainly studies the real option evaluation method of high-tech industry projects. Some conclusions of real options are verified (for example, the increase of project uncertainty will increase the value of the project), and the different decision results of real option method and DCF method are compared to a certain extent. First of all, on the basis of the systematic review of the history and present situation of real options, this paper clarifies the conditions under which real options have value, and studies the investment projects with real option theory, such as the classification of projects, the composition of project value, and so on. The steps and methods of real option theory used in project evaluation are summarized systematically, and the basic framework of real option analysis is put forward. Secondly, on the basis of a series of assumptions, the basic model of single stage investment decision is put forward, and the influence of the parameters such as scale step, time step size and sample number on the simulation results is analyzed, and the Monte Carlo simulation algorithm of the model is given. The model is studied systematically and how three parameters (demand drift rate, demand fluctuation rate and initial demand) affect the investment decision results are clarified. Finally, combined with the characteristics of high-tech industry projects, the basic model of single-stage investment decision is extended, and the extended model of single-stage investment decision is proposed, which improves the theoretical significance of the model. The algorithm of extended model is given by computer programming. Three possible decision results are simulated and the simulation results are analyzed. It is found that different combinations of initial requirements, changes of requirements and the number of project phases may lead to different decision results.
【学位授予单位】：西安理工大学
【学位级别】：硕士
【学位授予年份】：2002
【分类号】：F062.4
【引证文献】
相关硕士学位论文 前2条
1 陈愚;风险企业中的所有权与控制权配置及分阶段投资决策研究[D];重庆大学;2003年
2 杨红平;实物期权理论在信息系统项目投资决策中的应用[D];武汉大学;2005年
本文编号：2250637
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