投资时限对项目期权价值的影响分析

针对一般实物期权研究中,项目投资无限期假设的不足,研究实际中对投资时间有限期要求项目的投资期权评价问题.文章以我国房地产投资政策为背景,建立模型,研究给出了对投资机会限定在时间T内有效、投资者在其中具有投资管理柔性的投资项目的价值评价.用数值分析方法讨论了投资时限对投资机会价值和对投资者最优决策的影响,给出了投资者在等待以降低投资风险和尽快投资以避免机会失效之间的权衡.

Analysis for effect of limited investing time on the option value of project

This paper relaxes the assumption of infinitely expiration of investing options in standard real option analysis, and discusses the investment opportunity with limited investing time. In the paper, the value of investment option whose expiration time is T years is derived. The optimal investing rules and expected waiting time are provided. Using numerical approach, an analysis of real estate investment with background of our country is presented. The results shown by the paper demonstrate the trade-off of the investor between the waiting and investing