| 汇率波动下跨国公司战略投资期权价值研究 |
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| 引用本文： | 方世建,秦正云,缪柏其.汇率波动下跨国公司战略投资期权价值研究[J].财经研究,2006,32(5):136-143. |
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| 作者姓名： | 方世建 秦正云 缪柏其 |
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| 作者单位： | 中国科学技术大学,管理学院,安徽,合肥,230026 |
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| 摘 要： | 跨国公司可以在全球范围内进行资源的最佳配置,实行区域间生产和销售的战略调整,并能够利用汇率波动产生战略投资的灵活性,获得灵活性期权。文章通过将汇率的运动过程模型化为简单的几何布朗运动,探讨了汇率风险不确定条件下跨国公司投资灵活性的期权定价,并结合具体算例对期权价值的各个影响因素进行了分析,最后给出相应的启示。
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| 关 键 词： | 跨国公司 战略投资 汇率波动 灵活性期权 |
| 文章编号： | 1001-9952（2006）05-0136-08 |
| 收稿时间： | 2006-02-16 |
| 修稿时间： | 2006年2月16日 |
A Study on the Option Value of Strategic Investment of Multinational Enterprises under Exchange Rate Fluctuation |
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| FANG Shi-jian,QIN Zheng-yun,MIAO Bai-qi.A Study on the Option Value of Strategic Investment of Multinational Enterprises under Exchange Rate Fluctuation[J].The Study of Finance and Economics,2006,32(5):136-143. |
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| Authors: | FANG Shi-jian QIN Zheng-yun MIAO Bai-qi |
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| Institution: | School of Management, USTC, Hefei 230026, China |
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| Abstract: | Multinational enterprises may carry out the best deployment of resources in the sphere of the whole world,in order to actualize strategic adjustment of inter zone production and distribution.It can utilize the fluctuation of exchange rate to produce strategic investment flexibility,and obtain flexibility option.This paper mainly discusses the pricing method for flexibility option of multinational enterprises' strategic investment under uncertain risk of exchange rate through modeling the movement process of exchange rate as a simple Geometry Brown movement.It also analyzes the influencing factors of option value combining with some specific examples,and puts forward some enlightenment finally. |
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| Keywords: | multinational enterprises strategic investment exchange rate fluctuation flexibility option |
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