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。

A Research on Pricing Corporate Liquidity Value by Compound Real options

The corporate liquidity refers to the current assets holding by a company or enterprise. Besides its book value, it also contains some potential value. Assessment the corporate liquidity value by a scientific way is vei＇y important to all investors and the company managers. Pricing liquidity in the real option theory is a frontier in present corporate financial theory. This study not only can open a new cognitive vision field of the corporate liquidity, but also can make us understand the containing value of the liquidity holding by the companies, then help us to get the real right evaluation of the whole company value. For the first time, this paper reveals the compound real options properties of the corporate liquidity, attempts to price a company＇s liquidity value by the binary tree compound real option model, and provides a quantitative tools for the financial management decision. Through the compound real option model, we obtained the compound option value of the corporate liquidity, the value is not only more than the liquidity holding opportunity cost and its static value at the initial moments , but also more than the project value calculating by the common NPV method, the extra value is the result of having considered the liquidity compound option.