二叉树方法在风险投资决策中的应用

在过去的20年中,许多学者开始应用期权定价方法去估计实物资产价值,并在此基础上对公司的最优投资决策进行了大量研究。利用二叉树方法,通过对一个欧式期权与一个美式期权构成的复合期权进行定价,完成对风险投资问题的估价。主要有两个方面的内容:用实例说明怎样用二叉树方法对投资期权进行估价;把从期权模型获得的价值与用净现值方法得到的价值相关联,从而获得风险投资的最终的价值。

A Binominal Lattice Approach to Venture Investment Valuation

The recent zdecades have witnessed an emerging research that applied option methods to evaluate claims on real assets.Previous research has applied option pricing to the optimal investment timing decision for the firm.This paper applies a binominal lattices approach to the valuation of venture investment decision,a compounded option of a European option and an American option.This paper has two goals:to demonstrate how to derive the value of the investment timing option and to relate the value derived from the option model to the final offer price.The option value derived approximates the trading value of shares at the date of valuation.