基于区间分析的实物期权定价

实物期权定价中一般假定期望现金流现值和投资成本为确定值,实际上,由于风险投资项目的高度不确定性,该假设是不现实的。针对此问题,提出了基于区间分析的实物期权定价方法。详细介绍了基于区间分析的分布函数估计方法;提出了在实物期权定价中将不确定的输入变量表示为随机变量,基于区间分析,并利用Black-Scholes公式为之定价,得到期权值的分布函数;最后,通过实例验证了该方法的有效性。

Real Option Pricing based on Interval Analysis

Real option pricing models usually assume that the present value of expected cash flows and expected costs are definite values.However,there is a high uncertainty in venture capital investment,thus the assumption is unrealistic.To deal with this problem,a new approach based on interval analysis is proposed.First,the estimation of distribution function based on interval analysis is discussed in details.Second,based on interval analysis,by expressing the uncertain input variables with random variables,using the Black-Scholes formula to price the real option,we get the distribution function of the option value.An example is given to demonstrate the validity of the proposed approach.