基于实物期权的资本预算方法改进研究

发布时间：2018-03-18 14:10

本文选题：实物期权　切入点：资本预算　出处：《武汉科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：企业价值最大化目标客观上要求管理层通过做出合理有效的长期资本投资决策来尽可能的创造价值，而选择适当的资本预算方法是企业通过长期投资获得增值价值的重要途径。目前财务领域已经形成了以现金流量折现模型（DCF）为主的传统资本预算方法体系。然而，传统资本预算方法忽视了管理层在不确定条件下所能做出的主观选择权以及存在于投资项目中的机会价值（即期权价值），从而导致决策偏离甚至决策失误。鉴于此，本文探讨了在进行项目投资决策时将现金流量折现模型与实物期权定价方法结合起来的决策模式，以便优化和完善企业资本预算决策方法体系。本文首先从财务学与金融学理论出发对实物期权、实物期权定价方法及其应用进行分析，提出了将期权定价方法引入到资本预算并且应用于实物资产管理的基本思想，然后对如何通过基于实物期权的资本预算方法改进体系进行研究，，包括从布莱克-期科尔期定价模型和二项式期权定价模型对传统净现值进行改进分析。最后，通过实物资产案例分析对这两个改进的资本预算方法模型进行检验。本文共分为六章，主要围绕如何进行资本预算方法改进展开研究。第一章阐述了研究背景及意义，分别从国内与国外两个方面对当前的有关文献进行分析，并说明主要研究方法；第二章对现金流量折现方法包括净现值法、内含报酬率法等传统方法进行剖析，分述其内容及理论基础并给出相应示例；第三章从金融学及财务学的视角对实物期权进行概述，说明其含义、类型、影响因素以及相关性等，通过对期权定价原理的相关描述，说明将现金流量折现法与实物期权法相结合的原因；第四章阐述了基于实物期权的资本预算方法改进体系的构建，包括建立从布莱克-期科尔期定价模型和二项式期权定价模型对传统净现值进行改进的过程；第五章进行案例研究，选取A珠宝公司和B矿业公司的投资项目决策问题进行数据实证分析。实证结果表明，相比单一的传统的资本预算方法亦或是单一的实物期权方法，改进的资本预算方法在解决复杂的资本预算决策问题方面具有显著的优势。第六章是对基于实物期权的资本预算方法改进体系的总结，并对未来方法体系的完备与改进提出了展望。
[Abstract]:The goal of maximizing enterprise value objectively requires management to create value as much as possible by making reasonable and effective long-term capital investment decisions. The choice of appropriate capital budgeting method is an important way for enterprises to gain value-added value through long-term investment. At present, the traditional capital budgeting system based on cash flow discounted model (DCFF) has been formed in the financial field. However, The traditional capital budgeting method ignores the subjective option that management can make under uncertain conditions and the opportunity value (i.e. option value) that exists in the investment project, which leads to the decision deviation and even the decision error. This paper discusses the decision mode of combining the cash flow discount model with the real option pricing method when making project investment decision, in order to optimize and perfect the decision system of enterprise capital budget. Based on the theory of finance and finance, this paper analyzes the real options, the real option pricing methods and their applications, and puts forward the basic idea of introducing the option pricing method into the capital budget and applying it to the real asset management. Then it studies how to improve the system of capital budgeting based on real options, including the improvement analysis of traditional net present value from Black-Curr pricing model and binomial option pricing model. The two improved capital budgeting models are tested by case study of physical assets. This paper is divided into six chapters, mainly focusing on how to improve the capital budgeting methods. Chapter 1 describes the background and significance of the research, respectively from the domestic and foreign aspects of the current literature analysis. The second chapter analyzes the traditional methods, such as net present value method, internal rate of return method and so on, describes its content and theoretical basis and gives corresponding examples. The third chapter summarizes the real option from the perspective of finance and finance, explains its meaning, type, influencing factors and correlation, and describes the principle of option pricing. The paper explains the reason of combining the discounted cash flow method with the real option method. Chapter 4th expounds the construction of the improvement system of the capital budgeting method based on the real option. Including the establishment of Black-Curr pricing model and binomial option pricing model to improve the traditional NPV; 5th chapter case study, The empirical results show that compared with the single traditional capital budget method or the single real option method, A jewelry company and B mining company make empirical analysis on the investment project decision. The improved capital budgeting method has significant advantages in solving complex capital budget decision problems. Chapter 6th summarizes the improvement system of capital budget method based on real options. The prospect of the perfection and improvement of the method system in the future is also put forward.
【学位授予单位】：武汉科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42

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