决策依赖不确定条件下的工程系统估值模拟

将决策依赖不确定性与期权估值问题相结合，给出了当决策者的决策行为直接影响状态变量的随机分布时期权估值的最小二乘模拟算法，该算法的核心是从后往前迭代应用最小二乘法在状态变量每条路径的可执行节点处计算执行期权，及继续持有期权的期望收益的估计值，从而得到期权的价值，解决了在决策依赖不确定条件下由于最优投资规则未知而难以对状态变量的路径进行模拟的问题，并通过一个商用通信卫星在轨服务投资决策的算例验证了该算法的适用性，该算法将期权估值由外生不确定性拓展到了内生不确定性，进一步丰富了期权估值的数值方法。 

A Simulation Algorithm of Engineering Systems Evaluation Based on Flexibility Under Decision-Dependent Uncertainty

Combining decision-dependent uncertainty with options evaluation, a least square simulation algorithm was presented to evaluate the real options under the condition of the state variable's stochastic distribution being affected by the actions of decision-makers. It is the core of the algorithm, that the least square was applied repeatedly backward to compute the estimates of termination value, continuation value and the option value on the decision points of each sample path. So it solves the difficult problems to simulate the sample paths of the state variable under the decision-dependent uncertainty due to lack of the optimal stopping rules. The applicability of the algorithm was demonstrated by a numerical example about decision-making of on-orbit upgrading of commercial communication satellites. The method expands the evaluation of options from exogenous uncertainty to endogenous uncertainty, and enriches the numerical methods for options pricing.