【作者】 丁利敏；

【导师】 李红霞； 陈宏平；

【作者基本信息】 西安科技大学 ， 管理科学与工程， 2008， 硕士

【摘要】 安全投资已经日益成为能够影响安全生产水平和经济效益的重要因素,如何使社会有限的投入去实现尽可能高的安全标准,是人们努力寻求的目标,因此如何科学有效的评价安全投资所能带来的价值成为安全工作的关键。本文主要研究了安全投资中的实物期权定价模型。不可逆性和不确定性是安全投资项目的主要特点,传统的安全投资评价方法存在着明显的缺陷,常常低估了安全投资项目的价值,而实物期权方法正好能弥补这些不足。文章首先介绍了安全投资理论的相关知识,并分析了影响安全投资的可能因素,决策者必须充分考虑各种影响因素,反复权衡各种背景、条件、利弊情况,才有可能使安全投资获得最大的效益;其次介绍了实物期权理论的相关知识,分析了安全投资中引入实物期权理论的必要性,又对安全投资项目特性进行了详细研究,得出安全投资项目具有隐蔽性、随机性、条件性、组合性和相互影响性等实物期权特性,并探讨了安全投资中可能存在的实物期权种类,如延迟期权、扩张或收缩期权、转换期权等等;然后引入了实物期权方法对安全投资中的实物期权进行定价,提出模型的假设条件,以二叉树图方程式为基础,建立安全投资中实物期权的二叉树定价模型,并对模型中参数赋予新的含义以符合安全投资的特性,且应用模型分析了安全投资中的两个案例;最后给出结论与展望。实物期权方法比传统方法更具优越性,突破了传统投资决策方法固有的局限性,并对其进行修正,挖掘出安全投资项目中蕴含的不确定性的价值,为安全投资决策提供了一种可行性分析方法。希望通过本文的研究,能够改变人们的思维方式,把实物期权方法应用到安全投资领域,为安全投资决策提供了一种新思路。更多还原

【Abstract】 Safety investment has increasingly become an important factor to influence the level of safe production and the economic benefits. How to make the limited investment in the community to achieve the highest possible safety standards is the goal that people are working hard to seek. So it has been the key of safety work that how to evaluate the safety investment scientifically and effectively.This paper studies the real options pricing model of safety investment mainly. Irreversibility and uncertainly are the major features of safety investment projects, there are so many clear deficiencies in the traditional safety investment evaluation method, and often underestimate the value of safety investment projects, but real options approach can make up for these deficiencies. Firstly, it introduces the relevant knowledge about safety investment theory, and analyzes the possible impact factors of safety investment, policy makers must take full account of various factors, repeatedly balance the background, conditions and the pros and cons, it will be possible to get the most safety investment efficiency; Secondly, it introduces the relevant knowledge about the real options theory and analyzes the necessity to apply the real options method in the safety investment. By the detailed analysis of safety investment projects, we find that safety investment projects have many real options’characteristics, such as hidden characteristics, random characteristics, and so on. In the process of safety investment projects, there may exist option to delay, option to expand or option to contract, option to switch and others. Thirdly the real option approach is applied in the area of safety investment for real options pricing, the model assumptions are proposed, the real options pricing model of safety investment is established on the basis of the binomial model formula, and the parameters in the model are given new meaning to comply with the safety investment properties, and the two cases are analyzed by the model. Finally, it gives the conclusions and prospects.Real options approach has more advantages than the traditional method, and breaks through the inherent limitations of traditional method, and excavates the value of the uncertainty which is contained in the safety investment projects by its amendment to the traditional method. Hope that through this study, people’s way of thinking can be changed. It provides a new idea for safety investment decision-making by the real options method applied to the area of safety investment.更多还原