| 实物期权评价中波动率全阶段估算研究 |
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| 引用本文： | 马志卫,刘应宗. 实物期权评价中波动率全阶段估算研究[J]. 中国农机化, 2007, 0(2): 28-31 |
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| 作者姓名： | 马志卫 刘应宗 |
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| 作者单位： | 天津大学管理学院,300072,天津市 |
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| 摘 要： | 针对现行投资评价方法的局限,建立投资项目实物期权评价模型和评判标准。分析实物期权模型中波动率参数估算方法的局限性,以净现值法为基础,提出基于蒙特卡洛模拟的全阶段波动率估算方法,解决实物期权评价投资决策难题。
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| 关 键 词： | 实物期权 波动率 蒙特卡洛模拟 全阶段估算 |
| 文章编号： | 1006-7205（2007）02-0028-03 |
| 收稿时间： | 2006-03-20 |
| 修稿时间： | 2006-03-20 |
Study on Estimation of Whole Stage Volatility in Real Options |
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| MA Zhi-wei,LIU Ying-zong. Study on Estimation of Whole Stage Volatility in Real Options[J]. Chinese Agricul Tural Mechanization, 2007, 0(2): 28-31 |
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| Authors: | MA Zhi-wei LIU Ying-zong |
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| Affiliation: | Tianjin University, Tianjin, 300072, China |
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| Abstract: | An evaluation model and judging criteria in real options is established, analyzing the methods of investment decision- making. Discussing the methods of volatility estimation, a whole periodic estimation model is put forwarded based on Monte Carlo simulation and NPV, which solving the application difficultness of real options in investment decision. |
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| Keywords: | real options volatility Monte Carlo simulation whole stage estimation |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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