多标的和多重及复合实物期权的研究

实物期权理论作为金融期权理论在实际投资领域上的扩展,可以作为风险分析与管理决策工具,用于实物资产定价以及投资策略的分析与评估。但由于实物期权比金融期权更复杂,使其在真正的实际投资运用中面临很多困难。近年来,在研究单个实物期权的基础上,学者们开始关注于复合期权以及多种期权的相互作用。文章回顾了复合期权、多重期权以及多标的期权的研究进展,并进行了评述。多标的、多重实物期权在理论模型、应用以及算法的实现上,都有必要进行深入的研究。

Review of Research on Sequential and Multiple Real Option Written on Multi Underlying Assets

As an extension of financial option,real option reflects flexibility in management and strategy,so it can be a useful tool in risk analysis and managerial decision.Real option is widely used to evaluate assets and projects.However,real option is much more complicated than financial option.For example,real option seldom emerge in the form of a single option;in most situation,it writes on multi underlying assets and presents as sequential and multiple option.So,further researches are necessary.In this paper,some recent developments in real option research were reviewed.Researchers have paid more attention on sequential and multiple real option than a single real option in recent years.Further research of sequential and multiple real option is necessary,on whether model,application or algorithm.