摘要
实物欺权是一种项目风险的规避与管理方法.从期权定价的角度出发,在Black-Scholes模型的基础上,考虑到实物延迟期权中执行价格的实际意义——项目的投资支出,这一资金本身有其机会成本与时间价值,因此在此基础上推导得到执行价格可变假定下的实物延迟期权的定价模型,并介绍了用切片方法来获得其数值解的求解过程.
Real option is a way of avoiding and managing the project risks. This paper starts from the pricing problem of option, based on the Black-Scholes model, considering the real significance of the exercise price of real deferral option - the investment expenditure of projects, which has opportunity costs and time value, finally gets the pricing model of the real deferral option with alterable exercise price and obtains its numerical solution by using slicing method.
出处
《沈阳工程学院学报（自然科学版）》
2007年第4期393-398,共6页
Journal of Shenyang Institute of Engineering:Natural Science
关键词
金融工程
实物延迟期权定价模型
切片方法
financial engineering
real deferral option pricing model
slicing method
