A barrier options approach to modeling project failure: The case of hydrogen fuel infrastructure

Hydrogen fuel cell vehicles have the potential to contribute to a sustainable transport system with zero tailpipe emissions. This requires the construction of a network of fuel stations, a long-term, expensive and highly uncertain investment. We contribute to the literature by including a knock-out barrier option in an n-fold compound real option model to take account of immediate project failure in a multi-stage sequential investment project. Our model allows to explicitly incorporate the default possibility of large-scale energy infrastructure projects. In our case study of hydrogen infrastructure development, we find that even for the least conservative valuation method no profitable business case can be made for the development of hydrogen as a sustainable transportation mode. However, we do provide some suggestive scenarios that plausible tax schedules can be designed to overcome the starting problems for hydrogen infrastructure development.     

Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

In this paper, we use a Markov-modulated regime switching approach to model various states of the economy, and study the pricing of vulnerable European options when the dynamics of the underlying asset value and the asset value of the counterparty follow two correlated jump-diffusion processes under regime switching. The correlation is modelled by both the diffusion parts and the pure jump parts which describe the uncertainty of the value of the risky assets. We develop a method to determine an equivalent martingale measure and a parsimonious representation of the risk-neutral density is provided. Based on this, we derive an analytical pricing formula for vulnerable options via two-dimensional Laplace transforms, and implement the formula through numerical Laplace inversion.     

基于期权的农产品供应链模式分析

首先分析了农产品供应链的一般模式及其存在的问题,然后结合期权理论与农产品供应链的自身特点,以及我国现阶段农民专业合作社的特点及发展情况,提出了新的模式＂公司＋农民专业合作社＋农户＋期权＂。在此模式的基础上,运用经典的Black-Scholes期权定价模型对棉花供应链进行实例分析,说明了在农产品供应链中引入新模式之后,供应链实现了收益共享、风险共担,由此促进了农村经济的发展。     

EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility

Previous studies have suggested that some pollutant levels first increases due to the economic growth and then start decreasing, the pattern being called the “environmental Kuznets curve” (EKC). We examine EKC-type transitions of pollutant levels not with respect to economic growth but more generally in time. Assuming that each policy maker optimally executes the two switching options of regulation and unregulation for pollution, the switching dynamics of environmental policy can be described by an alternating renewal process. It is shown that the double Laplace transform of transition density of a pollutant level can be obtained by a novel application of renewal theory. The expected level of overall pollutants is then calculated numerically and found to exhibit either a Λ‐shaped or an N-shaped pattern in time. Our results present a simple explanation for the EKC-type transitions of pollutant levels within a real options framework.     

实物期权方法在企业投资决策中的应用研究

为了更好的对投资项目进行评估,引入了实物期权理论,为项目投资决策提供全新的思路。本文介绍了实物期权理论,并根据企业投资决策的特点,介绍了实物期权的分类和特征,提出了实物期权应用于企业投资决策的一般步骤。     

基于复合期权的创业板上市公司IPO定价研究

指出传统IPO定价方法用于具有高风险、高成长性等特征的高新技术企业IPO定价的缺陷,将实物期权概念引入IPO定价研究中。根据高新技术企业项目投资的特征,引入复合期权建立相应的数学模型,采用复合期权方法建立高新技术企业的IPO定价模型。最后,通过算例分析说明该模型在实践运用中具有一定的借鉴意义。     

再制造系统生产计划研究的现状与展望

首先给出了再制造系统的一般框架,总结了影响再制造生产计划制定的不确定性因素,进而通过借鉴企业资源计划系统的计划框架给出了再制造系统生产计划的一般层次结构,从研究问题和研究方法两个方面总结了再制造系统生产计划的研究成果,最后指出了进一步的研究方向。     

企业技术创新的虚拟与实体产权激励

企业技术创新激励制度的核心是保护创新者的利益,产权激励制度是一种合理的方式。企业技术创新的产权激励制度设计原则是保证创新收益与风险的均衡。知识产权激励是产权激励的重要内容。对技术创新的产权激励不仅仅是企业内部人员的激励或者外围环境的激励,本文力图建立一个以企业作为分析边界的产权激励模式。对技术创新的产权激励从产权形式角度划分为虚拟和实体产权。企业主体虚拟产权包括以品牌价值增值权为体现的声誉收益权,企业内部成员虚拟产权体现为以影子股票或者股票期权等形式的远期剩余索取权。从企业边界角度,内部产权激励中股权激励包括虚拟股权激励和现实股权激励,外部产权激励包括政府的知识产权制度。此外,企业技术创新的产权界定与保护制度是虚拟与实体产权激励制唐的保证．     

基于复合实物期权的公司流动性定价研究

公司流动性是指公司或企业持有的流动性资产,它除了账面价值外,还含有某种潜在价值。对公司流动性价值进行科学的评估,对于投资者、公司管理者等各方都非常重要。采用实物期权理论对公司流动性进行定价。是目前公司金融理论的前沿课题。这方面的研究不但可以打开对公司流动性认知的新视野,还可以促使我们通过了解公司持有的流动性所蕴含的价值,进而对整个公司价值进行真正正确的评估。本文首次揭示了公司流动性的复合实物期权性质,并用复合实物期权二叉树模型进行了公司流动性定价的尝试,为公司财务管理决策提供了一种量化的工具。通过使用复合实物期权模型,我们得到了公司流动性复合期权的价值,这个价值不但大于流动性持有的机会成本和其最初时刻的静态价值,同样也比常用的NPV法算出的项目价值大。多出来的价值就是考虑了流动性复合期权的结果。     

“地铁房地产”投资动力机制研究——基于行为博弈视角

地铁建设不仅极大地改善了城市的交通状况,还促进了沿线房地产的飞速发展。通过对“地铁房地产”投资主体进行分类,在此基础上构建相关行为博弈的均衡模型,分析其投资动力的内在机理,进而指出备投资主体只有愿意部分让出自己的利益时,才能最大程度享受“地缺效应”所带采的巨大潜在收益。