| 一类进入与退出投资决策的评价 |
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| 引用本文： | 肖恒辉,齐欢,杨明.一类进入与退出投资决策的评价[J].华中科技大学学报(自然科学版),2004,32(5):105-107. |
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| 作者姓名： | 肖恒辉 齐欢 杨明 |
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| 作者单位： | 华中科技大学 数学系,湖北 武汉 430074;华中科技大学 数学系,湖北 武汉 430074;华中科技大学 数学系,湖北 武汉 430074 |
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| 基金项目： | 国家自然科学基金资助项目 ( 70 0 71 0 1 2 ) |
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| 摘 要： | 在利用项目产品的价格服从几何布朗运动-跳跃过程来评价进入与退出投资策略时，项目产品的价格可能受到正向或者负向的跳跃所带来的冲击．基于这种认识，通过实物期权方法来评估项目的价值，运用动态规划方法推出投资机会的价值，通过数值分析模型，讨论了参数对投资的影响。
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| 关 键 词： | 实物期权 跳跃过程 进入与退出 动态规划 |
| 文章编号： | 1671-4512(2004)05-0105-03 |
| 修稿时间： | 2003年5月12日 |
The evaluation of investment strategies of a class of entry and exit |
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| Xiao Henghui Qi Huan Yang MingXiao Henghui Postgraduate., Dept. of Math.,Huazhong Univ. of Sci. & Tech.,Wuhan ,China ..The evaluation of investment strategies of a class of entry and exit[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2004,32(5):105-107. |
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| Authors: | Xiao Henghui Qi Huan Yang MingXiao Henghui Postgraduate Dept of Math Huazhong Univ of Sci & Tech Wuhan China |
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| Institution: | Xiao Henghui Qi Huan Yang MingXiao Henghui Postgraduate., Dept. of Math.,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China . |
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| Abstract: | Assuming that the price of the project output submitted to a combination of a geometric Brownian motion and a jump process to value entry and exit investment strategies, positive or negative jump was likely to make an impact on the price of the project output. Based on the consideration, the value of the project was evaluated by the method in real option and the value of the investment opportunity derived by dynamic programming method, by numerically analyzing model. The influences of parameters on investment were discussed. |
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| Keywords: | real options jump process entry and exit dynamic programming |
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