| 竞争条件下利率服从跳-扩散过程的实物期权价值评估研究 |
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| 引用本文： | 冯广波,马超群. 竞争条件下利率服从跳-扩散过程的实物期权价值评估研究[J]. 海南大学学报(人文社会科学版), 2007, 25(2): 165-168 |
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| 作者姓名： | 冯广波 马超群 |
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| 作者单位： | 1. 湖南大学,工商管理学院,湖南,长沙,410082;海南大学,经济管理学院,海南,海口,570228
2. 湖南大学,工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家自然科学基金项目(70471028)，新世纪优秀人才支持计划(NCET-04-0771)资助 |
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| 摘 要： | 基于市场竞争、无风险利率对实物期权的影响,本文研究了标的资产和利率服从跳-扩散过程下的期权定价模型,获得了存在潜在竞争对手情况下的实物期权定价模型,研究结果表明若忽视市场竞争、利率变化对实物期权价值的影响,将会造成投资项目价值的不合理估价,进而导致决策错误。
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| 关 键 词： | 竞争 利率 跳-扩散过程 实物期权 价值评估 |
| 文章编号： | 1004-1710(2007)02-0165-04 |
| 修稿时间： | 2007-03-09 |
Competition and Interest Rate Following Jump-diffusion Process |
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| FENG Guang-bo,MA Chao-qun. Competition and Interest Rate Following Jump-diffusion Process[J]. Humanities & Social Sciences Journal of Hainan University, 2007, 25(2): 165-168 |
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| Authors: | FENG Guang-bo MA Chao-qun |
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| Abstract: | In the valuation of real options,the effect of market competition on the change of the interest rate on the value of real options is often neglected and real options are often over-valuated.By introducing the option pricing model of the underlying asset and the interest rate following jump-diffusion process,the paper looks into the price of real options when the potential competitor exists,and suggests that the unreasonable valuation of invest project may be caused if the effect of market competition and the change of interest rate on the value of real options is neglected,and consequently result in mistaken decision-making. |
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| Keywords: | competition interest rate Jump-Diffusion Process real option valuation |
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