部分信息实物投资的消费效用无差别定价

赵丽, 黄文礼, 李胜宏

系统工程理论与实践 ›› 2016, Vol. 36 ›› Issue (3) : 604-612.

PDF(558 KB)
PDF(558 KB)
系统工程理论与实践 ›› 2016, Vol. 36 ›› Issue (3) : 604-612. DOI: 10.12011/1000-6788(2016)03-0604-09
论文

部分信息实物投资的消费效用无差别定价

    赵丽1, 黄文礼2, 李胜宏1
作者信息 +

Consumption utility-based pricing of the option to invest with partial information

    ZHAO Li1, HUANG Wenli2, LI Shenghong1
Author information +
文章历史 +

摘要

运用滤波理论, 随机控制理论和消费效用无差别定价原理, 建立基于部分信息的非完备市场有对冲机会的实物投资回报一次性支付的期权定价模型. 通过求解具有自由边界条件的高维偏微分方程, 推导出期权的隐含价值和投资最优执行边界, 确定了投资, 消费及资产分配的最优决策, 并详细讨论了投资回报波动风险, 平均回报率估计偏差风险以及资产相关系数对实物期权的隐含价值以及隐含信息价值的影响. 模型和结论对实物投资项目的估值和资产管理具有一定参考价值.

Abstract

By filter theory, stochastic control theory and consumption utility indifference pricing method, we conduct a real investment model of lump-sum payoff with hedging opportunities in an incomplete market with partial information. By solving a three-dimensional free-boundary partial differential equation (PDE), we obtain the implied value of the option to invest and investment threshold, and identify the optimal investment, consumption decision and portfolio selection. Then we discuss the impacts of changes in the volatility of the investment, the mean appreciation rate estimation risk, and the correlation on the implied value of the option to invest and the implied information value. Our paper has some reference value for an estimation of a real investment and asset management in practice.

关键词

实物期权 / 部分信息 / 消费效用无差别 / 投资消费

Key words

real option / partial information / consumption utility indifference pricing method / investment and consumption

引用本文

导出引用
赵丽 , 黄文礼 , 李胜宏. 部分信息实物投资的消费效用无差别定价. 系统工程理论与实践, 2016, 36(3): 604-612 https://doi.org/10.12011/1000-6788(2016)03-0604-09
ZHAO Li , HUANG Wenli , LI Shenghong. Consumption utility-based pricing of the option to invest with partial information. Systems Engineering - Theory & Practice, 2016, 36(3): 604-612 https://doi.org/10.12011/1000-6788(2016)03-0604-09
中图分类号: F224.0    F830.591   

参考文献

[1] Myers S.Determinants of corporate borrowing[J].Journal of Financial Economics, 1977, 5(2): 147-152.
[2] McDonald R, Siegel D.The value of waiting to invest[J].The Quarterly Journal of Economics, 1986, 101(4): 707-727.
[3] Dixit A.Entry and exit decisions under uncertainty[J].Journal of Political Economy, 1989, 97(3): 620-638.
[4] Henderson V, Hobson D. Real options with constant relative risk aversion[J]. Journal of Economic Dynamics and Control, 2002, 27(2): 329-355.
[5] Henderson V.Valuing the option to invest in an incomplete market[J].Mathematics and Financial Economics, 2007, 1(2): 103-128.
[6] Miao J J, Wang N.Investment consumption and hedging under incomplete markets[J].Journal of Financial Economics, 2007, 86(3): 608-642.
[7] 易昊, 杨招军.均值回复收益的消费效用无差别定价[J].控制理论与应用, 2009, 26(5): 494-497. Yi H, Yang Z J.Consumption-utility based pricing of payments following mean reversion[J].Control Theory and Applications, 2009, 26(5): 494-497.
[8] 叶小凡. 非完备市场中项目期权的消费效用无差别定价[J]. 系统工程理论与实践, 2013, 33(12): 3054-3060. Ye X F. Consumption-utility indifference pricing for the project option to invest in an incomplete market[J]. Systems Engineering—— Theory & Practice, 2013, 33(12): 3054-3060.
[9] Décamps J P, Mariotti T, Villeneuve S. Investment timing under incomplete information[J]. Mathematics of Operations Research, 2005, 30(2): 472-500.
[10] Yang J Q, Yang Z J, Song D D. The pricing and timing of the option to invest for cash flows with partial information[J]. African Journal of Business Management, 2011, 5(21): 8432-8445.
[11] Yang J Q, Yang Z J. Consumption utility-based pricing and timing of the option to invest with partial information[J]. Computational Economics, 2012, 39(2): 195-217.
[12] Song D D, Wang H M, Yang Z J. Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk[J]. Journal of Mathematical Economics, 2014, 51(2): 1-11.

基金

国家自然科学基金(11571310,71371168)
PDF(558 KB)

291

Accesses

0

Citation

Detail

段落导航
相关文章

/