| 基于利率不确定性的投资期权定价方法 |
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| 引用本文： | 黄卫来,杨丽佳,陈君. 基于利率不确定性的投资期权定价方法[J]. 华中科技大学学报(自然科学版), 2002, 30(11): 111-113 |
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| 作者姓名： | 黄卫来 杨丽佳 陈君 |
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| 作者单位： | 华中科技大学管理学院;华中科技大学管理学院;华中科技大学管理学院 |
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| 基金项目： | 湖北省重点科技研究项目 (98P2 318) |
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| 摘 要： | 首先研究了利率不确定性下的投资项目的净现值,然后在期权定价的三叉树模型基础上提出了利率不确定性下的投资期权定价的动态规划方法,得出了投资项目的期权价值的一般表达式。结果表明,投资项目的期权价值是期初利率的函数。本方法不仅可用于解决投资期权价值的确定问题,还可用于不确定性下投资项目的决策问题。
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| 关 键 词： | 投资期权 动态规划 三叉树 利率不确定性 |
| 文章编号： | 1671-4512(2002)11-0111-03 |
| 修稿时间： | 2002-03-15 |
A method for investment-timing option pricing based on interest-rate uncertainty |
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| Huang Weilai Yang Lijia Chen Jun Assoc. Prof., College of Management,Huazhong Univ. of Sci. & Tech.,Wuhan ,China.. A method for investment-timing option pricing based on interest-rate uncertainty[J]. JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE, 2002, 30(11): 111-113 |
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| Authors: | Huang Weilai Yang Lijia Chen Jun Assoc. Prof. College of Management Huazhong Univ. of Sci. & Tech. Wuhan China. |
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| Affiliation: | Huang Weilai Yang Lijia Chen Jun Assoc. Prof., College of Management,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China. |
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| Abstract: | The net present value of investment project under interest rate uncertainty was explored. Based on trinomial trees model of bond option pricing, a dynamic programming method for investment timing option pricing with uncertain interest rates was proposed, and a general expression about the option value of investment project was given. It shows that the option value of investment project is the function of interest rate at the period 0. The method can be used to solve determination problem of the option value of investment project and decision problem of investment project under uncertainty. |
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| Keywords: | investment timing option dynamic programming trinomial trees interest rate uncertainty |
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