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下降敲入续租期权定价研究

Study on Down Knock-in Renewal Option Pricing
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摘要 阐述了现代租赁的基本内涵和实物期权的基本原理 ,提出了下降敲入续租期权定价模型及其定价求解 ,最后给出了算例分析。 In this paper, firstly, the basic connotation of modern leasing and the basic principle of real option are dissertated. Then, the down knock-in renewal option pricing model and its solution are put forward. At last, example is provided.
作者 吴云 何建敏
机构地区 江苏金融租赁有限公司 东南大学经济管理学院
出处 《中国工程科学》 2004年第12期47-50,共4页 Strategic Study of CAE
关键词 租赁 续租 租赁期权 实物期权 下降敲入期权 leasing renewal leasing option real option down knock-in option
分类号 F830.9 [经济管理—金融学]
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参考文献10

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二级参考文献24

  • 1约翰．赫尔 张陶伟译.期权、期货和衍生证券[M].北京:华夏出版社,1997.223-264.
  • 2约翰 赫尔著 张陶伟译.期权、期货和衍生证券[M].华夏出版社,1997..
  • 3Thomas E. Copeland, Philip T. Keenan, How much is flexibility worth? The McKinsey Quarterly, 1998, 2, 38-49.
  • 4Keith J. Weslie, Max P, Michaels, The real power of real options, The McKlnsey Quarterly, 1997, 3, 4-22.
  • 5Thomas E. Cope.land, Philip T. Keenan, Making real options real, The McKinsey Quarterly, 1998, 3, 128-141.
  • 6Martha Amram, Nalin Kulatilaka, Uncertainty: The New Rules for Strategy, J. Business Strategy, 2000.
  • 7Jim Smith, Much Ado About Options? HBR, 1999.
  • 8Martha Amram, Nalin Kulatilaka, Real Options: Managing strategies Investinent in an Uncertain World, Harvard Business School Press, 1999.
  • 9Coy, Peter, Exploiting Uncertainty: The' Real Option' Revolution in Decisionmaking, Business Week, June7, 1999, 118-124.
  • 10Timothy A. Luehrman, Investrnent Opportunities as Real Options: Getting Started on the Numbers, Harvard Business Review, July - August 1998, 51-67.

共引文献23

中国工程科学
2004年 第12期

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