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项目投资中放弃期权与看涨期权的组合研究

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摘要 项目投资作为一种战略投资行为,具有一定的期权特征,表现为投资企业在投资过程中所获得的实物期权。本文对项目投资中产生的一种期权组合问题进行分析,在计算单个期权的价值和实施概率的基础上,研究放弃期权的最优执行价格和放弃期权的实施概率,推导出实物期权组合中放弃期权与看涨期权组合的计算方法,并给出解析计算公式。
作者 庄家
出处 《建筑经济》 北大核心 2006年第S2期120-122,共3页 Construction Economy
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参考文献8

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