企业并购中目标公司价值的实物期权定价新方法——基于前景理论的行为分析

发布时间：2018-05-19 04:10

本文选题：目标公司价值 + 实物期权　；参考：《数量经济技术经济研究》2017年03期

【摘要】：研究目标:给出研究企业并购中目标公司价值的一种实物期权定价新方法。研究方法:在实物期权理论的基础上,建立企业并购中目标公司的实物期权定价模型和外生竞争性服从跳扩散过程的实物期权定价模型,并在此基础上运用前景理论,考虑决策人有限理性对目标公司估值的影响,构建基于前景理论的服从跳扩散过程的实物期权行为定价模型。研究发现:在实证研究中,选取了一个典型的企业并购案例,通过建立基于前景理论的服从跳扩散过程的实物期权定价模型,并用最小二乘蒙特卡洛(LSM)模拟方法对模型进行了模拟计算,得到了合理的目标公司价值的估计值。研究创新:考虑决策者的有限理性,建立基于前景理论的目标公司价值的实物期权定价模型。研究价值:在企业并购过程中为确定目标公司价值给出了一个有限理性框架下的定价新思路。
[Abstract]:Research objective: a new method of real option pricing for the value of Target Corp in M & A is given. On the basis of real option theory, the real option pricing model of Target Corp in M & A and the real option pricing model of exogenous competitive compliance with jump diffusion process are established, and the prospect is applied on this basis. The theory, considering the influence of the limited rationality of the decision-makers on the valuation of the Target Corp, constructs a real option pricing model based on the prospect theory, which obeys the jump diffusion process. In the empirical study, a typical case of enterprise merger and acquisition is selected and the real option pricing based on the Perspective theory is established. The model is simulated with the least square Monte Carlo (LSM) simulation method, and the estimated value of the Target Corp value is obtained. Research innovation: considering the limited rationality of the decision-makers and establishing the real option pricing model of the Target Corp value based on the prospect theory. The value of Target Corp gives a new idea of pricing under the framework of bounded rationality.
【作者单位】：中南财经政法大学统计与数学学院;中南财经政法大学金融学院;
【基金】：国家社会科学基金项目(10BJY104) 国家自然科学基金项目(11526193)的资助
【分类号】：F224;F271

【相似文献】