资产剥离决策的期权定价模型

在假设某项资产的寿命无限长、在任何时刻出售的价格不变以及其经营利润的现值服从布朗运动的基础上，得出了一个经营利润达到临界点的模型；当该资产在临界点的经营利润低于其出售价格一定比例时，最佳的选择就是剥离该资产；通过变量取值的替代和适当改变，得到了一个可用于实际计量的模型；由于经营利润临界水平的确定存在一定的难度，故应用本模型进行剥离决策不是最优而是次优的选择。

An Option Pricing Model of Asset Divestiture

Assuming that the life of an asset is infinite, that the selling price of an asset is constant at any time and that the present value of operating profit from an asset follows a geometric Brownian process, this paper constructs a model from the asset of which operating profit reaches critical point. The best choice is to sell an asset when the operating profit at critical point is lower than the selling price by some proportions. By replacing the values of variables and changing them a little, a model which can be used in a econometric test has been acquired. The application of this model is only the second best choice because the determination of the critical operating profit is still a little difficult.