基于有限差分法的投资策略期权分析

Analysis on the Strategic Investment Option Based on Finite Difference Method

不确定性风险对投资项目的评估、决策有很大的影响。以实物期权原理对项目投资的不确定性做出定性解释,并通过有限差分法在看跌期权中的运用对实物期权价值予以定量分析。

The probabilistic risk has very big influence on the evaluation and determination of the investment projects. This paper makes the qualitative analysis on the uncertainty of the investment projects by using the real option principle, and makes the quantitative analysis on the value of real option through the application of the finite difference method in the put.