基于区间分析和云模型的实物期权定价研究

针对实物期权定价中预期现金流收益的现值和投资成本采用精确值给出不太合理的实际情况,深入分析了现有的基于模糊集理论和基于云模型的实物期权定价方法,提出了基于区间分析和云模型的实物期权定价方法。首先,在基于云X信息的逆向云算法的启发下,结合区间分析理论,提出一种新的逆向正态云构建算法;然后,用生成的云模型表示预期现金流收益的现值和投资成本,结合期权定价理论和基于区间数的逆向云算法,运用云运算,给出了一种将专家评估区间数据转化成正态云模型的形式,并提出了利用逆向正态云估计预期现金流收益的波动率的实物期权定价方法;最后,通过实例模拟证明了该方法的有效性。

On real option pricing based on interval analysis and the cloud model

In view of the actual situation that it was impractical to assume the present values of expected cash flow payoff and expected costs as exact numbers in real option pricing, a new pricing approach to the real option based on interval analysis and the cloud model was proposed after elaborate analysis of current pricing approaches to the real option based on fuzzy sets theory and emlploying the cloud model. Firstl, a new algorithm of the backward normal cloud integrating interval analysis theory was proposed on the inspiration of the algorithm of the backward cloud proposed based on cloud X information. Second, by expressing the present values of expected cash flow payoff and expected costs with generated cloud models, integrating option pricing theory and the new algorithm of backward cloud based on interval number and using cloud operation, a new pricing approach to real option was proposed to transform the intervals evaluated by experts into normal clouds and to estimate the volatility of expected cash flow payoff based on the backward normal cloud. A numerical example was given to illustrate the validity of the proposed approach.