| 跳跃扩散市场的投资与消费 |
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| 引用本文： | 黄毅,何春雄. 跳跃扩散市场的投资与消费[J]. 科学技术与工程, 2009, 9(8) |
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| 作者姓名： | 黄毅 何春雄 |
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| 作者单位： | 华南理工大学理学院,广州,510640;华南理工大学理学院,广州,510640 |
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| 摘 要： | 突发事件经常给处于多变商业环境中的投资项目带来巨大冲击.将实物期权评价方法运用到跳跃扩散市场中,建立投资价值评价与消费决策的跳跃扩散模型,并讨论突发事件的性态、投资者风险厌恶系数等参数对投资时机与消费的影响.
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| 关 键 词： | 实物期权 投资消费 跳跃扩散 |
Investment,Consumption under the Market with Jump |
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| HUANG Yi,HE Chun-xiong. Investment,Consumption under the Market with Jump[J]. Science Technology and Engineering, 2009, 9(8) |
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| Authors: | HUANG Yi HE Chun-xiong |
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| Affiliation: | Department of Mathematics;South China University of Technology;Guangzhou 510640;P.R.China |
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| Abstract: | Entrepreneurs often face tremendous impact from their business investment,because of emergencies.The real option approach is extendod to a market with jump and analyzed the joint decision of business investment and consumption/savings,to discuss the impact in the state of emergencies,investor risk aversion coefficient and other parameters. |
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| Keywords: | real Option consumption/savings jump-diffusion |
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