非对称信息条件下外部性期权问题分析

Analysis of Exterior Options Problem under Asymmetry Information

描述了外部性期权投资者和经营者价值函数,分析了不同信息条件下外部性期权的最优投资决策。在非对称信息条件下,外部性期权经营者对于项目价值信息隐匿,是一个具有逆向选择的委托代理问题。设计了以外部性期权管理当局利润数学期望最大为目标函数,以控污成本和污染预防水平作为状态方程的最优控制问题。应用极大值原理,得出了外部性期权最优控污成本和污染评价水平的求解方案。最后,进行了外部性期权的仿真实验,验证了外部性期权上的分析结果。

The exterior options are enlargement of the financial options. Its essence is object item investment and policy decision of management. In this paper exterior option functions of administrator and proprietor who release pollution are described. The optimization investment policy decision of the exterior option has been analyzed under different information conditions. The proprietor of exterior options hides the pollution-evaluation level information under asymmetry information. It is a principal-agent problem having the adverse selection. This paper designed that objective function is taken at the biggest mathematical expectation value of investment profit. The optimization control of the state equation is taken at pollution-control cost and pollutionevaluation level. Using maximal principle the found solution scheme of the exterior options optimization pollution-control cost and pollution-evaluation level has been derived. Finally, the emulation experiment in the exterior options was made. The analysis result of exterior options is verified.