摘要
古典的Black-Scholes期权定价模型认为资产回报服从几何布朗运动,但实证分析证明至少有三种形式有别于该基准假设,如价格跳跃导致的非正态分布、回报方差的时变性及均值与方差的相关性。价格回报过程的假设对期权定价乃至项目价值估价至关重要,本文提出当资产价格服从均值回复过程时的实物期权战略投资时机分析,并与几何布朗运动假设条件下的结论进行了比较。
The classic Black-Scholes option pricing model assumes that the returns of assets follow Geometrical Brownian motion, but return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to nonnormal innovations. Second, return volatility vary stochastically over time. Third, returns and their volatilities are correlated. Returns assumption is where the shoe pinches to option pricing and valuation. This paper presented mean-reverting process's timing decision making of strategic investment and comparing it with what in Geometrical Brownian motion.
出处
《中国农机化》
2006年第5期62-64,共3页
Chinese Agricul Tural Mechanization
关键词
不确定条件下投资
不可逆投资
均值回复过程
实物期权
investment under uncertainty
irreversible investment
mean-reverting process
real option