实物期权及其应用问题研究

【作者】 于昕；

【导师】 刘淑莲；

【作者基本信息】 东北财经大学 ， 会计学， 2003， 硕士

【摘要】 当前广泛应用的、标准的投资估值方法——DCF／NPV法存在不能量化管理灵活性和在增强企业能力上投资的价值的缺陷。实物期权估值方法可以补充和修正上述缺陷，因而有必要研究实物期权估值方法及其实践经验。 实物期权是对实物资产的不带义务的选择和处置的权利。实物期权的研究已有约二十年的历史。国外已进入扩大应用的阶段。国内对实物期权的研究才刚刚起步，应用还未见报道。 实物期权可分成八种类型：延迟投资、分阶段投资、扩张、收缩、停启、放弃、转换和企业增长期权。实物期权的标的资产是实物资产而不是金融资产，因而具有和金融期权不同的特性，如非独占性、非交易性、先占性、关联性、期权所有者的主动灵活性。 至于实物期权的定价，一般管理者可用Black-Scholes模型估算实物期权的价值而避免了复杂的建模过程和数学运算。 实物期权可比DCF-NPV法更有效地运用于企业的资本预算过程中。它可以帮助确定投资战略(投资方向及项目)、投资时机(对项目采取立即投资、永不投资、等待并加以培养三种策略)和投资方法(主动行动使投资机会成熟)。 接着本文讨论了实物期权在企业投资实践中的几个优秀案例。 本文共分四部分： 第一部分是实物期权的概述，首先简单介绍了一下期权，进而引入实物期权的概念。并通过实物期权与金融期权的比较，指出实物期权相对于传统决策方法的优越性。 第二部分介绍了实物期权的定价模型。了解了定价模型才能够在实际决策当中正确的运用实物期权。 第三部分阐述的是实物期权的应用。通过对风险投资项目中蕴涵的实物期权进行识别、分解和定量度量，构造了一个能够反映风险投资各个阶段的特性的期权组合；进而分别采用偏微分方程方法和二项树期权定价模型方法对这个包含着欧式买权的二项树期权组合进行建模和计算定价。 第四部分提出了实物期权研究中的理论上和应用上的几个前沿问题。最后基于已取得的成绩，总结了研究实物期权理论的现实意义。更多还原

【Abstract】 The standard methods of DCF and NPV, which are extensively used nowadays, can’t make managerial agility quantitative and can’t strengthen the capacity of company to invest. Real option can make up the above. So it is in great need to do research in the method of estimating real option and summary its practices.Real option is an option to deal with real assets without compulsory. It has been around twenty years since researchers began to work over real option. Researchers abroad have come into application phase, while we awfully start to study it in china. Application of real option still hasn’t come out in china.There are eight types of real option, such as option of deferring investment, of periodical investment, of expanding, of shrinking, of ceasing, of abjuration, of conversion and of increasing of company. The marked assets of real option is not financial assets but real assets, which determines that the characters of real option are different from those of financial options in such fields as non-monopolization, non-exchanging, pre-occupation, conjunction and initiative agility of owners of real option.In so far as the pricing of real option, if normal managers use Black-Scholes model to estimate the value of real option, complicated processes of modeling and operating can be avoided.Real option is more efficient in asset budget than the method of DCF and NPV. It is helpful in deciding the tactic of investment, the opportunity of investment and the method of investment.Following this, we discuss several cases of practical investment of companies by using real option.There are four parts of this thesis:First, the author summarizes the real option, by introducing option, then inducting the concept of real option. By analysis between real option and financial option, the author point out that real option is better than traditional method of decision-making.Secondly, the author introduces the model of pricing. On the basis of understanding the model of pricing, one can correctly apply real option in practice.Thirdly, the author set forth the application of real option. By identifying, separating and measuring the real option in venture investment, one can get the combination of real option in every phase of venture investment. Then we can use black-scholes model to calculate the price of real option.Last but not least, the author point out several questions in the research of real option. Then the thesis sums up the real significance of real option.更多还原