| 实物期权理论定量分析及相关问题简述 |
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| 引用本文： | 扶缚龙,黄健柏.实物期权理论定量分析及相关问题简述[J].预测,2005,24(3):31-36. |
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| 作者姓名： | 扶缚龙 黄健柏 |
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| 作者单位： | 中南大学,商学院,湖南,长沙,410083 |
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| 摘 要： | 实物期权的定量分析起源于Black和Scholes(1973)、Merton(1973)关于金融期权定价的开创性工作。从此，许多其他的定价技术，例如格子分析方法(lattice approach)，数值近似法(numerical approximations)，动态规划(dynatalic programming)和或有债权分析(contingent claims analysis)广泛地运用于投资项目的评估，本文首先对金融期权和实物期权进行比较一进而对有关实物期权分析方法的缺陷以及对相关分析方法进行改进的文献进行回顾。并在此基础上指出了如何将博弈论融入实物期权理论的分析是实物期权理论进一步研究的方向。
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| 关 键 词： | 实物期权 期权定价 动态规划 或有债权分析 博弈论 |
| 文章编号： | 1003-5192(2005)03-0031-06 |
Reviews on Quantitative Analysis and Relevant Problem of the Real Options Theory |
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| FU Fu-long,HUNAG Jian-bo.Reviews on Quantitative Analysis and Relevant Problem of the Real Options Theory[J].Forecasting,2005,24(3):31-36. |
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| Authors: | FU Fu-long HUNAG Jian-bo |
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| Abstract: | Inspired by the seminal financial option pricing mode l by Black and Scholes(1973)Merton(1973), Quantitative analysis of the mater ial object option has developed rapidly. From then, lots of other pricing techno logy widely applies to assess the investment project, such as lattice approach, numerical approximations,dynamic programming and contingent claims analysis. Th is paper firstly analyzed the difference between financial options and real opti ons. Secondly we discussed the underlying pitfalls of the real options analytica l method, and reviewed the documents on improvement of the relevant analytical m ethod. Based the above analysis, the author points out the Direction of the real options theory studies further, which is how to incorporate the game theory int o the real options theory. |
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| Keywords: | real options option pricing dynamic programming con tingent claims analysis game theory |
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