复合嵌套实物期权的定价应用研究

传统的项目投资价值分析方法不能满足对不确定性较高的项目进行定价的要求，而实物期权定价方法由于具有诸如能识别出在不确定环境中投资决策者管理灵活性价值等优点，得到广泛运用。复合嵌套实物期权模型更能贴切地反映在实际项目中具有的多重期权的特性，因而更成为研究热点。基于战略投资的长周期性与分阶段性等特点，将最早用于金融期权定价的Geske模型经过改进后的复合嵌套实物期权模型，更能将战略投资中管理灵活性的价值识别出来，因此更适于对战略投资项目进行定价。本文对基于复合期权的战略投资定价模型的模型设定、假设、参数设定、参数意义进行了细致阐述，以提高其实用性。

The Pricing Research for Real Compound Options

Traditional pricing approach could not meet the requirement to evaluate the investment project with high uncertainty.Since the option approach owns the advantages such as figuring out the value of the flexibility of the management on the investment project and so on,it is widely used in the project evaluation.Furthermore,the real compound options model could well identify the characteristic of multiple options which embedded in real investment program,and therefore become the focus of current studies.Accord...