| 一种实物期权的新型模糊定价方法 |
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| 引用本文： | 祝丹梅,张铁,陈冬玲,高红霞. 一种实物期权的新型模糊定价方法[J]. 东北大学学报(自然科学版), 2008, 29(11): 1544-1547. DOI: - |
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| 作者姓名： | 祝丹梅 张铁 陈冬玲 高红霞 |
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| 作者单位： | 东北大学,信息科学与工程学院,辽宁,沈阳,110004;重庆工学院,数理学院,重庆,400050 |
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| 基金项目： | 国家自然科学基金 |
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| 摘 要： | 针对实物期权定价中预期现金流收益的现值是个预测值,而采用精确值给出不太合理的问题,分析了三角模糊数或梯形模糊数给出它的区间估计值,并利用Black-Scholes公式(简称B-S公式)为之定价的方法.提出了将预期现金流收益现值的专家评估区间转化成正态模糊数并利用格贴近度构造权向量的一种新的实物期权定价方法,验证了利用正态模糊数估计现金流收益现值的合理性.最后通过实例模拟证明了该方法的有效性.
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| 关 键 词： | 实物期权定价 预期现金流收益 正态模糊数 格贴近度 B-S公式 |
A New Fuzzy Pricing Approach to Real Option |
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| ZHU Dan-mei,ZHANG Tie,CHEN Dong-ling,GAO Hong-xia. A New Fuzzy Pricing Approach to Real Option[J]. Journal of Northeastern University(Natural Science), 2008, 29(11): 1544-1547. DOI: - |
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| Authors: | ZHU Dan-mei ZHANG Tie CHEN Dong-ling GAO Hong-xia |
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| Affiliation: | ZHU Dan-mei1,ZHANG Tie1,CHEN Dong-ling1,GAO Hong-xia2(1.School of Information Science & Engineering,Northeastern University,Shenyang 110004,China,2.School of Mathematics & Physics,Chongqing Institute of Technology,Chongqing 400050,China.) |
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| Abstract: | In real option pricing,it is impractical to assume the present value of expected cash flow payoff as an exact number because it is a forecast one.Generally,the number is regarded as a triangular or trapezoidal fuzzy number to give its estimated interval values and the Black-Scholes(abbreviated as B-S) formula is used to price the real option.A new pricing approach to real option is thus proposed to transform the forecast intervals evaluated by experts into some normal fuzzy numbers with the lattice closenes... |
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| Keywords: | real option pricing expected cash flow payoff normal fuzzy number lattice closeness degree B-S formula |
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