项目投资决策实物期权方法

Project Investment with Real Option Approach

假设投资企业具有指数效用函数,项目投资收益服从具有上反射壁的几何布朗运动,项目投资收益不可复制,研究项目投资择时与定价问题,运用随机控制理论和新的证明方法,得到了项目投资择时与定价问题的解析解.

We assumed utility was exponential and the value of a project followed a lognormal process with upper barrier under an incomplete market. We dealt with problems of the timing and valuation of the project. By making use of stochastic theory and a new verification, an explicit solution was derived.