以新兴技术项目投资为背景, 修改了实物期权理论中投资机会永生和资产价格随机游走的假设, 建立了新兴技术项目的实物期权定价模型, 给出了新兴技术项目最佳投资时机和投资规模的表达式, 并以此为基础进一步探讨了风险和投资时限对投资时机和投资规模的影响规律, 最后通过数值算例验证了结论并指出了影响程度的变动规律. 研究结果表明:对投资有时限的新兴技术项目来说, 风险的增加会导致投资时机呈现出先提前再延迟的趋势、投资规模呈现出先递减再递增的趋势; 投资时限的增加会导致投资时机提前, 但对投资规模并无影响.
Abstract
This paper relaxes the assumptions of infinitely expiration of investing options and random walk of prices in standard real option based on the analysis of emerging technology investment projects. A real option model has been established to value the emerging technology project, and the optimal investing time and the optimal capacity have been provided to discuss the effect of risk and expiration. Using a numerical example, the conclusions are validated and an analysis about degree of influence is presented. The results show that: to the emerging technology project which has finitely expiration, for low levels of risk an increase in risk accelerate the investment time and decrease the capacity of investment, while for high levels of risk an increase in risk delay the investment time and increase the capacity of investment. In addition, an increase in the expiration time can accelerate the investment time, while has no effect on the capacity of investment.
关键词
实物期权 /
投资时机 /
投资阈值 /
投资规模 /
投资决策
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Key words
real options /
investment time /
investment trigger /
capacity of investment /
investing decision
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中图分类号：
F270.7
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脚注
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基金
国家自然科学基金(70941029);重庆交通大学青年科学基金
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