【作者】 王珏；

【导师】 黎国华；

【作者基本信息】 江西财经大学 ， 会计学， 2002， 硕士

【摘要】 实物期权理论是金融期权理论在企业投资决策中的运用，代表了现代财务理论的最新研究成果。作为对传统投资决策中使用的NPV方法的延伸和扩展，它为企业投资提供了新的分析思路和分析方法，其应用价值正日益凸显。对实物期权的研究目前在国内尚处于起步阶段，本文以借鉴国外经验和实践为主，就实物期权理论及其在企业投资决策中的应用进行初步的探讨，试求为日后的深入研究做一有益的铺垫。 全文分三章，共九节。 第一章论述实物期权理论的主要内容。 鉴于实物期权是从金融期权衍生发展而来，对期权基本知识的掌握，对于实物期权的理解，是不可或缺的。因此，本章的第一节——期权概述，首先简要介绍期权的概念和基础知识。期权，又称选择权，是一种具有权利和义务不对称特征的权力。按不向标准，期权可分为看涨期权和看跌期权、美式期权和欧式期权、金融期权和实物期权等。此外，期权的到期日、执行价格、盈亏状态、期权价格与内在价值与时间价值、期权收益的不对称性、Black-Scholes定价方程等等都是非常重要的基本知识，在本节中均一一作了简要介绍。 在第一节的基础之上，第二节——实物期权概述，着眼于阐述实物期权的概念及其与金融期权和NPV之间的关系。首先，实物期权是一种富含柔性的或有决策。它是决策者可以在看到事情是如何发展之后，再制定决策的机会。“实物期权是在预定的时间(期权的有效期)内，以预定的成本(称为执行价格)采取行动(如延迟、扩展、收缩、放弃等)的权力，而非义务。”而与实物期权相比，传统的决策是一种机械的刚性的决策方式——要么立即投资，要么放弃投资。其次，与金融期权类似，在实物期权的价值决定上，主要有六大参数／杠杆在起作用，用简单的敏感性分析可粗略判断这六大参数对实物期权定价的个别影响程度。考虑到实物期权理论源发于金融期权理论，因此，在本节的第四部分着手将金融期权与实物期权进行对比，在分析了两者之间的联系与区别后，指出实物期权实际上是针对传统的投资决策分析方法的不足，将金融期权理论引入企业投资领域，从而产生和发展起来的一种新型投资决策理论。实物期权方法是金融期权理论和传统净现值NPV方法巧妙结合的产物，是两者的结晶。继而在本节的最后，进一步 z将NP厂方法与实物期权方法相比较，指出实物期权方法是一种扩展的净现值方法，它体现了NPV方法中所忽略的但在决策中实际存在的决策柔性。 第三节则具体论述如何将NPy方法与实物期权方法有机的联系起来，强调实物期权方法并非是对NPy方法的完全推翻和替代，相反却是建立在其基础之上的更好的投资决策分析方法。两者之间的价值区别简单说来就在于：延迟决策（等待）可以带来两部分增加值——时间价值和情况朝好的方面变化所带来的价值。实物期权实际上将投资决策带人到二维决策空间，决策的后继变化将从一维决策空间的两种可能变化为六种，决策将更为灵活，其价值也因此提升，但基本的NPV方法的合理内核是不变的。 第四节结合一个假设案例，简要说明实物期权的基本类型，有延迟投资期权、分期建设期权、扩张期权、收缩期权、停（启）期权、放弃期权、转换期权、企业增长期权等等。不同类型的实物期权将决定投资决策（项目价值）的不同。 第五节则结合国内外的实际情况，例举实物期权在实际中的若干应用。 出于简化，在第一章实物期权价值决定的分析，以及NP厂方法与实物期权方法的比较分析中，均是假设实物期权可以比照一种简单的金融期权定价（即最基本的Black－Scholes连续定价模型）进行定价，而且只考虑实物期权的最简单的一种类型——延迟期权。而实际上，基本的金融期权的定价模型有二叉树（离散）期权定价模型和连续定价模型（以Black－Scholes定价模型为经典代表）两种。而且，除了延迟期权外，实物期权的类型有多种，相应的，其定价方式也会有所变化。为了不失一般性，在本文的第二章及第三章，着手于探讨实物期权的一般定价模式。鉴于实物期权定价与金融期权定价的血缘关系，只有对金融期权定价有了恰当的了解，才能掌握实物期权定价的原理。因此在这两章的结构安排中，均采用由浅入深的方法，首先是介绍期权的定价理论，从层层分析金融期权定价理论基础及定价方程椎导过程人手，进而展开对实物期权定价的后继研究。其中，第二章是从金融期权定价的离散分析和推导入手，再探讨实物期权的离散定价；第三章则分别介绍和讨论金融期权的连续定价以及实物期权的连续定价。圃于能力，所做的探讨非常有限，其研究方式方法也尚处于初级阶段。更多还原

【Abstract】 The theory of real options, which represents one of the up-to-date research achievements of modern financial development, is the application of the financial options to the enterprises’ investment decisions. As an expansion of the NPV method used fundamentally in the traditional investment decisions, it provides the investment practices with a new analytical tool and enjoys a bright future. Presently, the domestic research of real options is quite rare and primitive so that this paper is based mainly on the overseas academic research and achievements. However, Limited to the capability of the author, it is just a simple exploration of the theory of real options and its application to the enterprises’ investment decisions. The author’s aim is to provide insight into the future deeper research of real options.This paper is divided into three chapters and nine sections.The first chapter deals with the fundamental ideas of real options.Since real options derive from financial options, the basic ideas of financial options are essential to the understanding of real options. Therefore, the first section begins with the introduction of the concept and fundamental knowledge of options. Options, also called option rights, are the rights that have property of asymmetric rights and obligations. They could be classified as call options, put options, American options, European options, financial options, real options and so on according to different benchmarks. Besides, in this section certain basic ideas concerning options including the expiration date, exercise price, moneyness, the inner value and time value, the asymmetry of options’ payoffs as well as the Black-Scholes equation are introduced respectively.Based on the above knowledge, section two focuses on explaining the concept of real options as well as their relationships both with financial options and NPV. Firstly, real options are contingent decisions with flexibility. They are the right, but not the obligation, to take actions at specified cost at specified time. Compared with real options, traditional investment decisions, which are identified as" invest now or never", are mechanical ways without flexibility. Secondly, similar with financial options, the valuation of real options is decided by six parameters, whose effects to the value of real options can be see by making a simply sensitive analysis. Since the theory of real options come from the theory of financial options, based on the comparison of the realoptions and financial options, this paper points out that real options are the combination of the financial options theory and the NPV method. Therefore, in the last part of the paper, a simple comparison of real option approach and NPV approach is made, and the flexibility, which exists in the real investment decisions but is neglected by the NPV approach, is specified.Section three illuminates how to identify the relationship of the NPV and real options, pointing out that real option approach is rather a better method in investment decisions based on the NPV approach than a complete substitute for the NPV method. The differences of the value of them lies in that the deferred decision will bring out twokinds of extra values------the time value and the value of the better coming results whenwaiting. In fact, investment decisions based on real options are two-dimension decisions, which have six future possibilities rather than two possibilities of the one-dimension decisions made according to NPV approach because the flexibility embedded in real options is valuable.Based on a supposed case, Section four addresses the basic types of real options such as deferred options, expanded options, contracted options, abandon options, switch options and so on. Section five concerns the real applications of real options.For simplicity, the analysis of the valuation of real options and the comparison of the NPV and real options mentioned above are supposed to be carried out in terms ofthe simple financial pricing method------the Black-sch更多还原