多不确定条件下的跨国投资项目实物期权研究

本文基于对跨国投资项目特点的分析,同时考虑产品价格、生产成本和汇率对投资价值的影响,构建了基于实物期权理论的投资评价模型。对传统期权定价模型进行扩展,使之更适用于跨国风险投资项目,进而可明确分析价值波动率与多个不确定因素之间的相关性。实例分析表明,与传统期权模型相比,考虑了多不确定因素的扩展模型将更有助于把握投资机会、选择投资时机。

A Study on Real Option in Multinational Investment Projects under Multiple Uncertainties

Based on the analysis of the features of multinational investment,the concept of uncertainty,consisting of commodity price,operating cost and exchange rate,is introduced to real option valuation model.Thus the traditional real option model is expanded to better adapt to the transnational venture capital projects so as to clarify the relativity between the value volatility rate and the multiple uncertainties.As is revealed in case studies,compared with traditional option models,the extended model under multiple uncertainties will insure the investors better investment opportunities.