基于实物期权法的林业投资项目价值评估

当前林业投资项目不再局限于单纯的木材收益，开始将碳汇收益也纳入到项目价值中。而木材和碳汇的价格波动在增加了项目不确定性的同时，对项目价值也产生了一定影响。传统价值评估方法只能评估出项目的静态价值，对于不确定性带来的动态价值无法准确反映。因此，本研究以高峰林场裸地造林项目为例，根据价格波动规律对木材与碳汇的未来价格分别提出了合理假设，并利用Black-Scholes期权定价模型对项目价值进行了评估。通过对评估结果的分析，论证了实物期权法应用于林业投资项目价值评估的可行性及必要性，促进了实物期权法在林业中的进一步发展。     

Merton跳扩散期权模型的有限体积格式

考虑有限体积法定价欧式的Merton型跳扩散期权模型.基于线性有限元空间,构造了向后Euler和Crank-Nicolson两种全离散有限体积格式,且离散矩阵均为M-矩阵.针对方程中的积分项,采用一类高效的线性插值技术进行逼近.数值实验验证了本文方法的有效性和稳健性.     

O-U过程下具有不确定执行价格的领子期权定价

假设股票价格遵循广义O-U(Ornstein-Uhlenback)过程,执行价格为不确定执行价格并服从几何分数布朗运动,利用拟鞅和测度变换的方法,得到该模型下领子期权定价公式并进行数值分析.该结果推广了常数参数下领子期权的结果,为金融衍生品创新提供了更多的理论依据.     

基于B-S模型的环保项目投资评价

以ABC公司环保产品开发为例,针对传统项目投资评价在环保项目上的缺点,分析了将实物期权理论运用到环保项目投资评价中的可行性,并运用B-S模型进行定量分析,以期为环保项目投资提供一个新的思路,同时也使环保项目决策变得更加合理。     

基于多阶段预报分布的贝叶斯多变量均值向量监控模型

考虑了一类具有多个时间点重置执行价格的欧式熊市（或牛市）重置权证定价.应用鞅定价方法和多维正态分布函数，得到了该类权证价格的显示解和Δ对冲策略，推广了Gray和Whaley的单时点重置权证定价模型.     

Application of real options theory to forestry investment analysis

This paper demonstrates the utility of the real options approach to forestry investment analysis. The main objectives are to discuss the real option theory and show how it can be adopted to model uncertainty and managerial flexibility in forest management and investment. Secondly, we show how to calculate the option values of selected options that may be available to managers of forest industry firms. The paper provides an empirical application, which compares a forestry investment using the static Faustmann model and the real options approach. Four management options are used for the real options approach: an option to delay reforestation, an option to expand the size of the wood processing plant, an option to abandon the processing plant if timber prices fall below a certain level or due to corporate take-over, and multiple options that evaluated all three options together. All options were evaluated using the binomial option-pricing model, where timber values are assumed to follow a multiplicative binomial process. The results show that the Faustmann analysis rejected the investments as unprofitable, while the option analysis showed that all three options were highly valuable if exercised. When real options are considered, the traditional Faustmann model for assessing the profitability of a forestry investment may fail to provide an adequate decision-making framework because it does not properly value management's ability to adjust to shocks in the economy, as well as risks and uncertainty.     

原料基地的战略价值研究--期权定价模型的应用

在市场风险下 ,加工企业控制一定比例的原料供应 ,相当于购买了一种期权 ,这种期权对林工联合体有着不可忽视的战略价值 ,它可大大减少加工企业的市场风险暴露。本文应用期权定价模型对这种战略价值进行定量研究 ,敏感分析表明 :当木材市场价格水平、长期资本利率水平越高 ,木材价格波动率越大 ,加工企业拥有原料基地的战略价值越大。期权定价模型的应用为正确认识原料基地的战略价值 ,分析木材限额采伐政策等提供了良好的基础。     

公共项目公私合伙制中政府保证的会计问题研究

政府部门应该以国际公共部门会计准则为依据对PPP项目中的政府保证进行会计确认，反映PPP项目中政府保证的成本及其隐含的风险，增强政府部门的成本意识，避免过度提供保证。根据业绩担保类政府保证的看跌期权性质，建议应用期权定价的技术进行会计计量，将其确认为报表中的金融负债。并可通过建立政府保证基金的方式解决政府保证单独估价造成的成本高估问题。     

农产品企业股权激励市场反应研究

采用事件研究法考察了2006年1月1日1《上市公司股权激励管理办法》颁布后第1家尝试股权激励的农产品企业——新安股份,结果表明:市场对于股权激励的反应明显,公司市值短期内产生波动。     

Model and Computation of Reload Stock Options with Barriers

Reload stock option is proposed as a executive stock option plan having some drawbacks, and prove that it is necessary to treat the reload option as a barrier option with two barriers. The improved reload option pricing model is established which the long incentive and reload feture of executive stock option are included. The pricing formula of the new option and the simulation analysis of it are discussed.