|
|||||
|
|
| 基于均值回复的实物期权战略投资分析 | |
| 引用本文： | 王五祥,李松,姜俊臣,刘冰.基于均值回复的实物期权战略投资分析[J].中国农机化,2006(5):62-64. |
| 作者姓名： | 王五祥 李松 姜俊臣 刘冰 |
| 作者单位： | 1. 河北农业大学经贸学院,071001,河北保定;天津大学管理学院,300072,天津市 2. 河北软件技术学院,071000,河北保定 3. 河北农业大学经贸学院 4. 保定城乡建筑设计院,071000,河北保定 |
| 摘 要： | 古典的Black-Scholes期权定价模型认为资产回报服从几何布朗运动,但实证分析证明至少有三种形式有别于该基准假设,如价格跳跃导致的非正态分布、回报方差的时变性及均值与方差的相关性。价格回报过程的假设对期权定价乃至项目价值估价至关重要,本文提出当资产价格服从均值回复过程时的实物期权战略投资时机分析,并与几何布朗运动假设条件下的结论进行了比较。 |
| 关 键 词： | 不确定条件下投资 不可逆投资 均值回复过程 实物期权 |
| 文章编号： | 1006-7205（2006）05-0062-02 |
| 收稿时间： | 2005-11-29 |
| 修稿时间： | 2005年11月29 |
Real Option Analysis of Investment Strategies Under mean-reverting |
|
| WANG Wu-xiang,LI Song,JIANG Jun-chen,LIU Bing.Real Option Analysis of Investment Strategies Under mean-reverting[J].Chinese Agricul Tural Mechanization,2006(5):62-64. | |
| Authors: | WANG Wu-xiang LI Song JIANG Jun-chen LIU Bing |
| Institution: | 1. Agriculture University of Hebei, Baoding, 071001, China; 2. Tianjin University, Tianjin, 300072, China; 3. Software Technique College of Hebei, Baoding, 071000, China; 4. Town and City Architecture College of Baoding, Baoding, 071000, China |
| Abstract: | The classic Black-Scholes option pricing model assumes that the returns of assets follow Geometrical Brownian motion, but return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to non-normal innovations. Second, return volatility vary stochastically over time. Third, returns and their volatilities are correlated. Returns assumption is where the shoe pinches to option pricing and valuation. This paper presented mean-reverting process's timing decision making of strategic investment and comparing it with what in Geometrical Brownian motion. |
| Keywords: | investment under uncertainty irreversible investment mean-reverting process real option |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |