| 价格波动、市场竞争与实物期权价值评估 |
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| 引用本文： | 杨远涛.价格波动、市场竞争与实物期权价值评估[J].预测,2006,25(3):23-27. |
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| 作者姓名： | 杨远涛 |
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| 作者单位： | 哈尔滨工业大学,管理学院,黑龙江,哈尔滨,150001 |
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| 摘 要： | 由于忽视市场竞争对实物期权价值影响和对价格随机过程的不合理假设，无法合理评估项目价值。竞争对手的行动会影响实物期权的价值，标的资产价格实际上也不服从几何布朗运动。本文通过引入价格带的方法，探讨在完全独占和竞争性的情况下实物期权的价值变化情况，指出上述问题的存在会造成项目价值的高估和错误的决策。
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| 关 键 词： | 实物期权 竞争 价格带 价值 |
| 文章编号： | 1003-5192（2006）03-0023-05 |
| 收稿时间： | 2005-07-29 |
| 修稿时间： | 2005-07-29 |
Price Uncertainty, Competition and the Value of Real Options |
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| YANG Yuan-tao.Price Uncertainty, Competition and the Value of Real Options[J].Forecasting,2006,25(3):23-27. |
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| Authors: | YANG Yuan-tao |
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| Institution: | The School of Management, Harbin Institute of Technology, Harbin 150001, China |
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| Abstract: | In the valuation of real options, researchers often neglected the effect of competition on the value of real options, and the price of the underlying asset often dose not follow a geometric Brownian motion, and researchers should consider the mean-reversion feature due to competition. In this paper we examine the difference of value of real optios under different conditions when the option is and is not proprietary to the firm by introducing price band. And we find real options will be overvalued if we neglect competition, leadirig to wrong decisions. |
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| Keywords: | real option competition price band value |
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